<SEC-DOCUMENT>0000891092-15-003742.txt : 20150501
<SEC-HEADER>0000891092-15-003742.hdr.sgml : 20150501
<ACCEPTANCE-DATETIME>20150501105806
ACCESSION NUMBER:		0000891092-15-003742
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		11
CONFORMED PERIOD OF REPORT:	20150228
FILED AS OF DATE:		20150501
DATE AS OF CHANGE:		20150501
EFFECTIVENESS DATE:		20150501

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05542
		FILM NUMBER:		15822523

	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-CSRS
<SEQUENCE>1
<FILENAME>e63780ncsrs.htm
<DESCRIPTION>FORM N-CSRS
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<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0 0 0 78pt; text-indent: -78pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; vertical-align: baseline"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-weight: normal; vertical-align: baseline">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 78pt; text-indent: -0.5in">&nbsp;</P>

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

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES</B></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: 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.,<BR>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: 08/31/2015</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: 02/28/2015</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>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">&nbsp;</P>

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<P ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="RIGHT">FEBRUARY 28, 2015</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">SEMI-ANNUAL REPORT (UNAUDITED) </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 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%">
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<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>
</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></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">The
Markets in Review</DIV></FONT></TD>
     <TD >&nbsp;</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>Semi-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">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">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">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">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">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: 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">48</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">50</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">51</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">53</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">55</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">58</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">77</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">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">78</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">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">79</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 STYLE="text-align: left; width: 33%">2</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>The Markets in Review</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>
<DIV STYLE="margin-right: 2%; width: 58%; float: left;">
<P ALIGN="JUSTIFY"><DIV ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">&nbsp;</FONT></DIV></P>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 12px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="text-align: left; margin-top: 6pt">Dear Shareholder,</FONT></DIV></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Market volatility, while remaining below the long-term average
level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds),
geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world&#146;s largest central banks. As the U.S. Federal
Reserve (the &#147;Fed&#148;) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly
trended lower during the period.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The first half of 2014 was generally a strong period for most
asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared
that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets
tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly
weakened in the third quarter.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Several themes dominated the markets in the fourth quarter that
resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States
while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth
while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where
yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the
relative stability of U.S.-based companies amid rising global risks.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Oil prices, which had been gradually declining since mid-summer,
plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as
many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed
up discretionary income for other goods and services.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">These trends shifted in early 2015. U.S. equities underperformed
international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers
became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy
accommodation and improving economic data.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">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 markets.</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">Sincerely,</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV ALIGN="LEFT">&nbsp;&nbsp;
<IMG SRC="robkapito_sig.jpg">
<BR></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 10pt"><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> </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="#000000">Total Returns as of February 28, 2015</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 WIDTH="100%" nowrap ALIGN="CENTER"></TD>
     <TD><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD STYLE="border-left: Black 1pt solid"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif; color: White">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT STYLE="font: 9pt 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: 9pt Arial, Helvetica, sans-serif; color: White">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT STYLE="font: 9pt 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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. large cap equities (S&amp;P 500<sup>&#174;</sup> Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.12</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; border-right: 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">15.51</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 VALIGN="TOP">
     <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">U.S. small cap equities (Russell 2000<sup>&#174;</sup> Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.70</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; border-right: 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">5.63</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 VALIGN="TOP">
     <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">International equities (MSCI Europe, Australasia, Far East Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.26</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; border-right: 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">(0.03</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 VALIGN="TOP">
     <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">Emerging market equities (MSCI Emerging Markets Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(8.30</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; border-right: 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">5.01</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 VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV>3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury<BR> Bill Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.01</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; border-right: 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">0.03</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 VALIGN="TOP">
     <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">U.S. Treasury securities (BofA Merrill Lynch<BR> 10-Year U.S. Treasury Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.14</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; border-right: 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">8.66</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 VALIGN="TOP">
     <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">U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2.25</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; border-right: 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">5.05</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 VALIGN="TOP">
     <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">Tax-exempt municipal bonds (S&amp;P Municipal Bond Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2.17</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; border-right: 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">6.47</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 VALIGN="TOP">
     <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">U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)</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; border-left: 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; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.08</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; border-right: 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">2.81</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"></FONT></DIV></P>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 4px; TEXT-ALIGN: LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><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>


<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>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of February 28, 2015</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, U.S. 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 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 into the Trust, which was completed on November 10, 2014. The reorganization of
BKT into the Trust was not approved by BKT shareholders.</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" 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="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>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 six-month period ended February 28, 2015, the Trust returned
     5.79% based on market price and 4.37% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds
     (Leveraged) category posted an average return of 1.34% based on market price and 0.78% 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"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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 main contributors to the Trust&#146;s performance were its
     exposure to investment grade corporate credit, particularly within industrials and financials, U.S. Treasuries and high yield
     and supra-sovereign securities (supranational entities formed by two or more central governments to promote economic development
     for the member countries). Other contributors included non-U.S. dollar exposure and positions in commercial mortgage-backed
     securities (&#147;CMBS&#148;), agency mortgage-backed securities (&#147;MBS&#148;) 30-year pass-throughs and asset-backed
     securities (&#147;ABS&#148;).</FONT></TD>
</TR>
</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B></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">There were no material detractors from performance during the
     period.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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">For the most part, the Trust&#146;s allocations remained consistent
     throughout the six-month period, with its largest positions in investment grade and high yield corporate credit, followed
     by allocations in securitized credits, specifically ABS and CMBS. The largest position change came in form of increasing
     the Trust&#146;s exposure to U.S. Treasuries.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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 mainly
     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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></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%">4</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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 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 February 28, 2015 ($13.78)<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">6.57%</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 February 28, 2015<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" 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">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" 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>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">The distribution rate is not constant and is subject
to change.</FONT></TD>
</TR>
</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>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">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 10.</FONT></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"><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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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">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">13.78</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.64</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.03</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.03</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.98</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.19</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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.33</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.39</FONT></TD>
     <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">14.70</FONT></TD>
     <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; 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"><BR>
<DIV STYLE="text-align: center"><IMG SRC="e63071bhk.jpg" STYLE="width: 650px">
</DIV>
 &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"><B><FONT COLOR="gray">Overview of the Trust&#146;s Total Investments</FONT></B></P>
<DIV STYLE="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></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>Portfolio Composition<BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14<SUP>4</SUP></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">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">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">55</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">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">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">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">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">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">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">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">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">9</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%"><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 >&nbsp;</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">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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Other<SUP>5</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 WIDTH=5% ALIGN="RIGHT" nowrap style='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;</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;</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>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">Information has been revised to conform to current
year presentation.</FONT></TD>
</TR>
</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>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 a less than 1% holding in each of the
following investment types: Short-Term Securities and Options Purchased.</FONT></TD>
</TR>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="3px" ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>6</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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>


<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>6,7</SUP><BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></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
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">AAA/Aaa<SUP>8</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">21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">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">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">18</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">26</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">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">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">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">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">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">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">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">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">6</FONT></TD>
     <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">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>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>

<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>7</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">Excludes Short-Term Securities, Options Purchased
and Options Written.</FONT></TD>
</TR>
</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>8</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">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>
</TABLE>


</DIV><BR STYLE="clear:both"><P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
<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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</TD>
<TD STYLE="text-align: right; width: 33%">5<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 February 28, 2015</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; 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" SIZE="2"><DIV ALIGN="LEFT"></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; 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"><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 six-month period ended February 28, 2015, the Trust returned
     0.11% based on market price and (0.17)% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged)
     category posted an average return of (2.46)% based on market price and (1.60)% 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"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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 high yield market was essentially flat for the full six months,
     declining through December before recovering its losses late in the period. However, the Trust&#146;s allocation to floating-rate
     high yield loans contributed positively to performance, as that segment rose modestly near the end of the period. Exposure
     to the equity of high yield companies detracted from returns.</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 exposure to the energy sector was the leading
     detractor as the price of oil finished the period significantly lower, from about $100 a barrel at the beginning to about
     $50 a barrel at the end. This led to declines in energy-related high-yield issues. Holdings within metals &amp; mining also
     detracted as those commodities also came under pressure in the face of slower growth prospects. The Trust&#146;s use of leverage
     acted to magnify losses in both sectors.</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 most commonly used derivative strategy is to
     utilize short positions in equity futures in order to reduce overall risk in the portfolio and manage the volatility of its
     equity holdings. Those positions detracted given the positive performance of the overall equity market during the period.</FONT></TD>
</TR>
</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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 period, the Trust reduced risk modestly in the portfolio,
     based on the view that the market is likely to see increased volatility, making its overall risk-return profile less attractive.
     The Trust also modestly reduced its equity holdings and increased the size of its equity futures. In addition, the Trust
     increased its holdings in more liquid high yield positions, such as its allocation to high yield index ETFs.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><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 the majority of its total portfolio
     in corporate bonds, with the next significant allocation being in floating rate loan interests (bank loans), and a modest
     percentage in common stocks. The remainder was invested in preferred stocks and other interests. The Trust was broadly diversified
     with holdings in more than 450 companies, while the top 25 highest conviction holdings represented about one-quarter of overall
     portfolio assets.</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></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%">6</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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 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; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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 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 February 28, 2015 ($11.52)<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">7.86%</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 February 28, 2015<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" 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">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" 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>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">The monthly distribution per Common Share, declared
on March 2, 2015, was decreased to $0.0700 per share. The current distribution rate on closing market price, current monthly distribution per Common
Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is
subject to change in the future.</FONT></TD>
</TR>
</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>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">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 10.</FONT></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"><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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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">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">11.52</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4.56</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.62</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.82</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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4.83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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">12.31</FONT></TD>
     <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; 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"><BR>
<DIV STYLE="text-align: center"><IMG SRC="e63071hyt.jpg" STYLE="width: 650px">
</DIV>
 &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"><B><FONT COLOR="gray">Overview of the Trust&#146;s Total 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 WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Portfolio Composition<BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14<SUP>4</SUP></B><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: 9pt"><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 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">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">73</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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>
</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">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">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">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">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">9</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">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">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">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">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">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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Investment Companies </DIV></FONT></TD>
     <TD >&nbsp;</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">&#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">Other</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">&#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"><SUP>5</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">&#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"><SUP>6</SUP>&nbsp;&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>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">Information has been revised to conform to current
year presentation.</FONT></TD>
</TR>
</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>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 a less than 1% holding in each of the
following investment types: Non-Agency Mortgage-Backed Securities, Warrants, Other Interests and Options Purchased.</FONT></TD>
</TR>
</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>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 a less than 1% holding in each of the
following investment types: Non-Agency Mortgage-Backed Securities, Warrants, Other Interests, Short-Term Securities and Options Purchased.</FONT></TD>
</TR>
</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>7</SUP><BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></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
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">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">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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>8</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">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">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">33</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">37</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">38</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">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">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%" 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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<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>7</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">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" 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>8</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">Representing less than 0.5% of the Trust&#146;s
total investments.</FONT></TD>
</TR>
</TABLE>
</DIV><BR STYLE="clear:both"><P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
<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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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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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>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of February 28, 2015</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 STYLE="text-align: justify; font-family: Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: justify; font-family: Arial, Helvetica, Sans-Serif"></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"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif; color: gray"><B>Trust
Overview</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><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 U.S. 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 STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">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 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 into BHK was not approved by BKT shareholders.</FONT></DIV></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="margin-left: 18px; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">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"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif; color: gray"><B>Portfolio
Management Commentary</B></FONT></P>





<DIV STYLE="margin-right: 2%; width: 48%; float: left; font: 10pt Arial, Helvetica, Sans-Serif"><P STYLE="text-align: justify; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: justify; font: 10pt Arial, Helvetica, Sans-Serif"></DIV></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>How
                                         did the Trust perform?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">For
     the six-month period ended February 28, 2015, the Trust returned 3.31% based on market price and 1.88% based on NAV. For
     the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 1.53% based on market price
     and 1.58% 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 STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>What
                                         factors influenced performance?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">The
     Trust&#146;s exposure to agency collateralized mortgage obligations (&#147;CMOs&#148;) and U.S. agency debt contributed positively
     to performance. 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;).</FONT><FONT STYLE="font-size: 10pt"><BR></FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">The
     Trust&#146;s duration positioning, as well as its exposure to agency MBS, detracted from performance.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">The
     Trust uses interest rate derivatives, including futures and swaps, 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; font: 10pt Arial, Helvetica, Sans-Serif"><P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>Describe
                                         recent portfolio activity.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">During
     the six-month period, the Trust marginally decreased overall exposure to agency MBS, with most of the reduction coming from
     the allocation to 30-year pass-throughs. The Trust also retained its selective allocations in asset-backed securities, CMBS
     and non-agency MBS based on a increasing yields and continued improvement in underlying fundamentals.</FONT></TD>
</TR>
</TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><DIV STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>Describe
                                         portfolio positioning at period end.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top; font: 10pt Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="width: 2%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&#149;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 98%; text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">At
     period end, the Trust maintained exposure to high quality agency MBS with varying maturities and coupon rates. The Trust
     continued to be overweight agency CMOs while holding an underweight to 15- and 30-year agency pass-throughs. The Trust continued
     to hold small allocations in non-agency MBS and CMBS. The Trust also maintained a relatively neutral duration compared with
     the benchmark.</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>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></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%">8</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR="gray">Trust Information</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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 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 February 28, 2015 ($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 February 28, 2015<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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<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">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" 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>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">The monthly distribution per Common Share, declared
on March 2, 2015, was decreased to $0.031 per share. The current distribution rate on closing market price, current monthly distribution per Common
Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is
subject to change in the future.</FONT></TD>
</TR>
</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>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">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 10.</FONT></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-family: Arial, Helvetica, Sans-Serif; color: Gray"><B>Market
Price and Net Asset Value Per Share Summary</B></FONT></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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 COLOR="#000000"
ALIGN="CENTER"></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
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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.42</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.52</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.30</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.17</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.38</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" 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">7.12</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>
</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-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: Gray"><B>Market
Price and Net Asset Value History For the Past Five Years</B></FONT></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>
<DIV STYLE="text-align: center"><IMG SRC="e63071bkt.jpg" STYLE="width: 650px">
</DIV>
 &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-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: Gray"><B>Overview
of the Trust&#146;s Total Investments</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>
<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>Portfolio Composition<BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14<SUP>4</SUP></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">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">103</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">103</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">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">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">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%"><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">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">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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">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">&#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</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">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">(7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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;</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">Borrowed Bonds</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">&#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"><SUP>5</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">&#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"><SUP>5</SUP>&nbsp;&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>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">Information has been revised to conform to current
year presentation.</FONT></TD>
</TR>
</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>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">Representing greater than (0.5)% of the Trust&#146;s
total investments.</FONT></TD>
</TR>
</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>6,7</SUP><BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&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: 9pt"><B>2/28/15</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 COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14<SUP>4</SUP></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">AAA/Aaa<SUP>8</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">97</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">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">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">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>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<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>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">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" 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>7</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">Excludes Short-Term Securities.</FONT></TD>
</TR>
</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>8</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">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>
</TABLE>
</DIV><BR STYLE="clear:both"><P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
<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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</TD>
<TD STYLE="text-align: right; width: 33%">9<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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<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>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"></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
its 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">


<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>Derivative Financial Instruments</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">




<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.
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 manage commodity, market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments may
give rise to a form of economic leverage. Derivative financial instruments also 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</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">financial instrument. The 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 limit the amount of appreciation
a Trust can realize on an investment and/or may result in lower distributions paid to shareholders and, 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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">10</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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>Schedule of Investments</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;February 28, 2015 (Unaudited)</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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-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>Asset-Backed Securities &#151; 13.2%</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">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">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">&nbsp;810,431</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AMMC CLO IX, Ltd., Series 2011-9A, Class D, 4.75%, 1/15/22 (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">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">2,004,330</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Apidos CDO XI, Series 2012-11A, Class D, 4.51%, 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">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">1,199,958</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Apidos CLO XIX, Series 2014-19A, Class D, 3.96%, 10/17/26 (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">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">952,000</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">Ares CLO, Ltd.,, Series 2014-32A, Class C, 4.45%, 11/15/25 (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">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">1,241,675</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; width: 100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ares XXIII CLO, Ltd., Series 2012-1AR (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 STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</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 CR, 3.46%, 4/19/23</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">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">3,980,440</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class DR, 4.41%, 4/19/23</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">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">2,992,110</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atrium CDO Corp., Series 9A, Class D, 3.76%, 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">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">1,441,590</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">Babson CLO 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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1X, Class B, 2.75%, 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">1,000</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">967,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px;
TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">Series 2014-3A, Class C1, 3.23%, 1/15/26 (b)</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">2,000</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">1,955,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px;
TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">Series 2014-3A, Class D1, 3.73%, 1/15/26 (b)</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">1,500</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">1,400,625</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">Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.10%, 10/17/26 (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">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">1,923,964</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 3.50%, 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">927,850</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">Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.36%, 10/20/26 (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">1,500</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">1,461,774</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.19%, 11/23/25 (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">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">2,907,300</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">Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.95%, 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">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">961,240</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">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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">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">423,901</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">253,381</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">320,909</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">2,210</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">2,282,112</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">CIFC Funding 2014-IV Ltd., Series 2014-4A, Class D, 3.66%, 10/17/26 (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">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">1,888,849</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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-V, Ltd., Series 2014-5A (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, 3.59%, 1/17/27</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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">546,176</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">Class D2, 4.74%, 1/17/27</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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">544,289</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">CIFC Funding 2015-1, Ltd., Series 2015-1A, Class C, 3.26%, 1/22/27 (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">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">981,036</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">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, 4.41%, 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">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">1,488,095</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">Series 2013-IA, Class B, 3.06%, 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">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">973,328</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">Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.32%, 1/25/37 (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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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">735,154</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (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">4,015</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">4,054,209</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.05%, 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">1,948,755</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 XXIV Senior Loan Fund, Series 2012-24A, Class D, 5.01%, 11/15/23 (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">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">505,430</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;">


<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-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 STYLE="text-align: left; width: 100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Asset-Backed Securities (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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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 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">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">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">&nbsp;497,882</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">215,287</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">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">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">414,461</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 3.26%, 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">1,604,053</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">Galaxy XV CLO Ltd., Series 2013-15A, Class C, 2.85%, 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">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">967,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 3.82%, 10/29/26 (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">955,211</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Highbridge Loan Management 4-2015, Ltd., Series 5A-2015, Class C1, 3.44%, 1/29/26 (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">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">3,921,323</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, 3.70%, 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">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">1,503,939</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">Limerock CLO III LLC, Series 2014-3A, Class C, 3.83%, 10/20/26 (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">4,500</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">4,245,750</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">NACM CLO I, Series 2006-1A, Class B, 1.01%, 6/20/19 (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">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">4,935,398</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">Nelnet Student Loan 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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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, 0.37%, 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">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">1,040,885</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">Series 2008-3, Class A4, 1.91%, 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">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">1,279,033</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 XVIII Ltd., Series 2014-18A, Class C, 3.98%, 11/14/25 (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">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">2,145,983</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">Oaktree EIF II Series A1, Ltd., Series 2015-B1A, Class C, 3.46%, 2/15/26 (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">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">984,240</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">Oaktree EIF II Series A2, Ltd., Series 2014-A2, Class C, 3.50%, 11/15/25 (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">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">2,222,151</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">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, 3.06%, 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">969,252</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 3.91%, 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">965,001</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 XXI Ltd., Series 2014-1A, Class C, 3.88%, 11/14/26 (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">1,922,061</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 3.54%, 11/22/25 (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">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">1,993,516</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,575</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">5,573,885</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">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, 3.36%, 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">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">1,475,368</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 4.16%, 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">488,938</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">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">448,578</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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">1,896,659</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">Regatta V Funding Ltd., Series 2014-1A, Class C, 3.68%, 10/25/26 (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">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">1,889,553</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 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">1,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,888,639</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">478,969</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">


<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">&nbsp;</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-color: gray; border-bottom-style: solid; border-bottom-width: 1pt; background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR="gray">Portfolio Abbreviations</FONT></B></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 3%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>ADR</B><BR><B> ADS</B><BR><B> AUD</B><BR><B> CAD</B><BR><B> CLO</B><BR><B> CMO</B><BR><B>
                                         CR</B><BR><B> DIP</B></FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">American Depositary Receipts<BR> American Depositary Shares<BR> Australian Dollar<BR> Canadian
                                         Dollar<BR> Collateralized Loan Obligation<BR>
                                         Collateralized Mortgage Obligation<BR> Custodian Receipt<BR> Debtor-In-Possession</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 3%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>ETF</B><BR><B> EUR</B><BR><B> EURIBOR</B><BR><B> GBP</B><BR><B> GO</B><BR><B>
                                         LIBOR</B><BR><B> MSCI</B></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Exchange-Traded Fund<BR> Euro<BR> Euro Interbank Offered Rate<BR> British Pound<BR>
                                         General Obligation Bonds<BR> London Interbank Offered Rate<BR> Morgan Stanley Capital
                                         International</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 3%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>OTC</B><BR><B> PIK</B><BR><B> RB</B><BR><B> S&amp;P</B><BR><B> TBA</B><BR><B>
                                         USD</B></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Over-the-Counter<BR> Payment-In-Kind<BR> Revenue Bonds<BR> Standard and Poor&#146;s<BR>
                                         To Be Announced<BR> U.S. Dollar</FONT></DIV></FONT></TD>
</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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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:
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_02-63071-bhk 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;">

<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; padding-bottom: 0; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed Securities</B></FONT></TD>
     <TD STYLE="padding-bottom: 0; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 0; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 0; 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; padding-bottom: 0; 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; padding-bottom: 0; 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; padding-bottom: 0; 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; padding-bottom: 0; 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; padding-bottom: 0; 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 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>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">Silver Spring CLO Ltd., Series 2014-1A, Class D, 3.71%, 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">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">&nbsp;2,064,216</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 0.44%, 6/15/21 (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">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">179,139</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 1.57%, 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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">312,702</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 1.56%, 1/25/18 (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">548</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550,405</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">Series 2008-5, Class A4, 1.96%, 7/25/23 (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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,245</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">1,296,021</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">727,109</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 2014-A, Class B, 3.50%, 11/15/44 (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">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">495,069</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">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">48</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49,923</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">Steele Creek CLO 2014-1 Ltd., Series 2014-1A, Class C, 3.46%, 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">2,438,697</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">955,593</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 3.86%, 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">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">1,485,465</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">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">1,520,959</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">Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">544,677</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 3.86%, 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">1,682,418</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,464,347</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">107,762,952</FONT></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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,504</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">309,669</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">Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,465</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">635,936</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">945,605</FONT></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: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Asset-Backed Securities &#151; 13.3%</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">108,708,557</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="16" 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="16" 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 STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Aerospace &amp; Defense &#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">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">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">495,719</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">United Technologies Corp., 6.13%, 7/15/38 (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">1,450</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,939,453</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">2,435,172</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>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 (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">4,315</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">4,708,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">980,901</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">742</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">775,725</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">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">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">1,060,000</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">3,908</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">4,181,137</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">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">2,750</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">2,763,750</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">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">1,734</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">1,786,078</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">16,255,811</FONT></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 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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">184,275</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">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">2,660</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">2,736,608</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: 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">1,906</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,039,420</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: 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">1,578</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,654,927</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">6,615,230</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 ALIGN="LEFT" WIDTH="100%"><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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Co., 4.75%, 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">USD</FONT></DIV></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">4,255</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">&nbsp;4,683,011</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="100%"><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 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">2,506</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">3,109,507</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Land Rover Automotive PLC, 4.13%, 12/15/18 (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 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">1,500</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 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">1,563,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">&nbsp;</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">9,356,268</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 6.8%</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 ALIGN="LEFT" WIDTH="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">2,200</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">2,530,669</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="100%"><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 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">10,000</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">10,150,970</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="100%"><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 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">3,500</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">4,005,313</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/19 (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 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">796</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">850,685</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="100%"><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 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">3,300</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">3,547,500</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Depfa ACS Bank, 5.13%, 3/16/37 (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 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">7,925</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">10,098,629</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="100%"><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 (b)</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">2,800</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"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,842,000</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Bank PLC, 3.10%, 5/24/16 (b)</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">1,395</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">1,435,263</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">2,020</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">2,129,710</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="100%"><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 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">610</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">813,790</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intesa Sanpaolo SpA, 5.02%, 6/26/24 (b)</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">2,290</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">2,357,718</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="100%"><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 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">3,375</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">3,920,592</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="100%"><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 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">1,600</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">1,773,944</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">2,780</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">2,999,373</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="100%"><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 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">3,000</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">3,115,392</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="100%"><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 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">2,780</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 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">2,931,796</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">&nbsp;</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">55,503,344</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="100%"><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 ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Cemex SAB de CV, 5.88%, 3/25/19 (b)</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">400</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">414,100</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 4.8%</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 ALIGN="LEFT" WIDTH="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CDP Financial, Inc., 5.60%, 11/25/39 (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 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">5,890</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">7,717,449</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Group AG, 7.50% (a)(b)(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 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">3,000</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">3,217,500</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">2,435</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">2,757,859</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="100%"><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 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">6,340</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">7,198,227</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="100%"><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 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">3,615</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">4,226,568</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley, 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 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">3,855</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">4,277,893</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Murray Street Investment Trust I, 4.65%, 3/09/17 (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">&nbsp;</FONT></DIV></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">1,645</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">1,748,383</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="100%"><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 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">8,000</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 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">8,525,424</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">&nbsp;</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">39,669,303</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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
                                         (b)</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">302</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">326,915</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="100%"><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 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">304</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">309,320</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="100%"><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 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">700</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">756,520</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="100%"><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 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">595</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">612,106</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="100%"><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 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">4,148</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">4,217,882</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="100%"><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 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">322</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 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">346,150</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">&nbsp;</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">6,568,893</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Commercial Services &amp; Supplies &#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 ALIGN="LEFT" WIDTH="100%"><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 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">491</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">510,640</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviation Capital Group 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 ALIGN="LEFT" WIDTH="100%"><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 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">1,300</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">1,358,699</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="100%"><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 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">1,800</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"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,071,946</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (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 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">325</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">308,750</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="100%"><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 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">1,640</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">1,734,300</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="100%"><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 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">1,078</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">897,435</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><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">


<!-- 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%">12</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk 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_02-63071-bhk 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;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 STYLE="text-align: left; width: 100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Commercial Services &amp; Supplies (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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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">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">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">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">&nbsp;402,792</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">835,450</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">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">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">1,007,505</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">9,127,517</FONT></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>Communications Equipment &#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">ADC Telecommunications, Inc., 3.50%, 7/15/15 (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">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">8,713,350</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,011,240</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">9,724,590</FONT></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 &amp; Engineering &#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">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">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">430,537</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: 20px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (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">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">199,200</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">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (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">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">404,000</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">1,033,737</FONT></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; 0.6%</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">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">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">938,700</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">HD
                                         Supply, Inc., 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">3,088</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,304,160</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">336,150</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 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">4,579,010</FONT></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; 1.6%</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">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">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">3,144,630</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">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">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: 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">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">1,077,750</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">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">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">774,000</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">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">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">514,392</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">312,997</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">2,530</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">3,172,597</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">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">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">1,737,302</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">807</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">845,333</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">1,312</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">1,356,280</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">13,280,881</FONT></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; 0.3%</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">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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">192,920</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">Sealed Air 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">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">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">1,245,970</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: 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">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">509,062</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">Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (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">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">854,850</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">2,802,802</FONT></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>Diversified Consumer 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"><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">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">536,338</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">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">1,255,500</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">1,791,838</FONT></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>Diversified Financial Services &#151; 2.6%</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">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">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">1,563,061</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">FMR LLC, 4.95%, 2/01/33 (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">2,300</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">2,559,231</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">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">6.75%, 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">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">3,465,510</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">2,869,381</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">195,950</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">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">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">505,555</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">Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (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">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">2,475,000</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">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">1,942,796</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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 STYLE="text-align: left; width: 100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services (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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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">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">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;415,250</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">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">1,188,320</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">5.75%, 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">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">2,077,500</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">6.88%, 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">1,935</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">2,046,262</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">21,303,816</FONT></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; 3.0%</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">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">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">856,000</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">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: 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">1,230</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">1,340,700</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">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">1,604,250</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">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">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">1,040,393</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">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">6,879</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,658,879</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">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">6,751</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,872,468</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: 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">7.88%, 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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">216,500</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">7.75%, 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">103,470</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%, 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">18,400</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">24,160,489</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 STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 5.9%</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">242</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">298,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">434</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">512,951</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">1,832</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,064,201</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">306,857</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">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">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">856,360</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">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">1,675</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">2,269,586</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">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">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">834,940</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">Duke Energy Florida, Inc., 6.40%, 6/15/38 (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">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">1,095,852</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (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">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">4,096,495</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">Electricite de France SA, 5.60%, 1/27/40 (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">2,800</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">3,434,113</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: 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">2,775</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">3,941,580</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">Georgia Power Co., 3.00%, 4/15/16</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">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">820,752</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">578,314</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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., 6.50%, 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">5,515</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">7,581,923</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">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">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">4,015,644</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">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">1,225</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">1,686,075</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">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">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">3,615,793</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">1,300</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">1,672,551</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">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">2,175</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">2,947,791</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,285,187</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">47,915,063</FONT></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>Energy Equipment &amp; Services &#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">Calfrac Holdings LP, 7.50%, 12/01/20 (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">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">843,650</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">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">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">325,482</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">3,490</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">3,585,867</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">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">3,800</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">3,758,740</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">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">142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">139,160</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">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">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">939,600</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">MEG Energy Corp., 6.50%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">541,800</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">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">2,507</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,281,370</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">6.25%, 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">2,483</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">2,067,097</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">Seadrill Ltd., 6.13%, 9/15/17 (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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,778,525</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">17,261,291</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">


<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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_02-63071-bhk 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;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 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>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="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">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">558</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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;592,875</FONT></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; 0.2%</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">Barry Callebaut Services NV, 5.50%, 6/15/23 (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">1,293</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">1,372,519</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">338</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">356,168</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">1,728,687</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>Health Care Equipment &amp; Supplies &#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">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">2,511</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">2,603,538</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: 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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">802,725</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">3,406,263</FONT></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 Providers &amp; Services &#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">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">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">739,820</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">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">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">828,000</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="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">988</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,145,700</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">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">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">302,810</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: 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">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">269,610</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">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">4,322</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">4,916,275</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">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">2,322</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">2,449,478</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">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">1,609</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,755,821</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">6.00%, 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">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">1,352,850</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">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">766</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">769,830</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">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">3,530</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">3,534,412</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">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">2,317</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,624,003</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">4,100,196</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">8,000</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">8,715,064</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">33,503,869</FONT></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>Hotels, Restaurants &amp; Leisure &#151; 2.3%</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">Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20
                                         (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">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">2,135,900</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">Six Flags Entertainment Corp., 5.25%, 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">1,724</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">1,764,859</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">3,286</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,225,668</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 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">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">1,856,339</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 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">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">4,724,183</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">2,390</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">3,320,934</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">19,027,883</FONT></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; 0.5%</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">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">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">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">603,200</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">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">162,265</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: 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">2,352,000</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">Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (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">371</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">363,580</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">Tri Pointe Holdings, Inc. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">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">425,162</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">290,363</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">4,196,570</FONT></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">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">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: 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">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">602,250</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">1,033,250</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 COLSPAN="16" 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; 0.3%</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">Calpine 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">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">274</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">298,797</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">210,490</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">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">1,537</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">1,667,645</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">2,176,932</FONT></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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 STYLE="text-align: left; width: 100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Industrial Conglomerates &#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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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 (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">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">360</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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;359,357</FONT></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; 2.9%</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">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (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">1,221</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,257,630</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">American International 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">5.45%, 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">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">1,742,466</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (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">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">655,185</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">Five Corners Funding Trust, 4.42%, 11/15/23 (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">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">2,050</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">2,205,782</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">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">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">786,877</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">1,860</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">2,139,498</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Liberty Mutual Group, Inc., 6.50%, 5/01/42 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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">2,526,126</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: 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">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">1,466,418</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">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">3,255</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">3,298,513</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">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (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">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">729,300</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">Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (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">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">562,482</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">1,246,340</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">7.38%, 6/15/19 (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">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">664,148</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 6/21/20 (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">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">572,230</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">4.50%, 11/15/20 (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">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">941,403</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (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">610,165</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,955,325</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">23,359,888</FONT></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>Internet Software &amp; Services &#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">Equinix, Inc., 4.88%, 4/01/20</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">173</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">179,920</FONT></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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">436,800</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">First Data 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">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">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">1,029,000</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">3,384</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,629,340</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">5,095,140</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"><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>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="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">&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">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>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488,410</FONT></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 (b)(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">2,150</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,503,310</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>Media &#151; 5.1%</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">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">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">702,400</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">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">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">689,430</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: 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">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">358,295</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">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">4,980</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">5,243,813</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">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">2,600</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">3,785,564</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: 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">1,076,185</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">Cox Communications, Inc. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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">1,270,533</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">8.38%, 3/01/39</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">3,475</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">4,960,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">610,856</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">1,437,629</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">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">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">692,640</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">iHeartCommunications, 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">611</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">603,363</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">Inmarsat Finance PLC, 4.88%, 5/15/22 (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">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">1,017,700</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">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">662,375</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">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">2,045,322</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">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (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">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">233,805</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">658,499</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">3,957</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">4,554,198</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: 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">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">2,253,570</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">


<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk 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_02-63071-bhk 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;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 STYLE="text-align: left; width: 100%"><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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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">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">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">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">&nbsp;513,583</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 Radio, Inc., 4.25%, 5/15/20 (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">893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">888,535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (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">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">861,774</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">1,350</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">1,509,092</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">1,049,049</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">532,775</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">Univision Communications, Inc., 5.13%, 5/15/23 (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">2,306</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">2,386,710</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">Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835,425</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">41,433,373</FONT></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; 3.3%</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">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">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">3,185,780</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">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">4.50%, 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">347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350,904</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">834,488</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: 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">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">1,045,725</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">Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (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">3,131</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,110,097</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">Freeport-McMoRan Copper &amp; Gold, Inc., 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">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">791,549</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">8,225</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">8,924,125</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">Teck Resources Ltd., 5.38%, 10/01/15 (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">4,709</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,811,214</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (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">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">1,300,500</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,950,077</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">27,304,459</FONT></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 (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">2,520</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">2,628,199</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>Oil, Gas &amp; Consumable Fuels &#151; 6.4%</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">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">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">857,000</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">3,832</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,110,950</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">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">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">308,295</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">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">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">194,040</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">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">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">1,809,691</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">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">1,230</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">1,283,812</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">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">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">866,850</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">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">110,550</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">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">561,949</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: 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">90</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">111,307</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">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">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">706,870</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">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">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">1,288,754</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">1,761,224</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">KeySpan Gas East Corp., 5.82%, 4/01/41 (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">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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">1,330,820</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">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">3,486,894</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">254,890</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">355,860</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">Kinder Morgan, Inc., 5.63%, 11/15/23 (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">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">381,556</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">214,120</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">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">474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">404,085</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">2,049</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,514,691</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">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">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">112,360</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">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">35</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,210</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">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">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">1,954,558</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">MidAmerican Energy Holdings Co., 5.95%, 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">1,750</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">2,276,965</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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 STYLE="text-align: left; width: 100%"><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>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-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: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 5%"><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">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">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;509,387</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: 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">1,670</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">2,373,187</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">233,914</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">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">94</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">99,640</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">540,800</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">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">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">721,391</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">3,800</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">3,230,000</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">213</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">224,183</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">53</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">54,193</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">127,813</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">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">498</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">509,205</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">567,690</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">3,662,977</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">6.25%, 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">796</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">837,790</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">5.63%, 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">937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">958,083</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">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">48</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">36,720</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">7.50%, 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">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">443,300</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">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">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">814,635</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">346,290</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: 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">1,425</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">1,589,488</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: 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">1,642</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,617,370</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,575,390</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">52,366,747</FONT></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>Paper &amp; Forest Products &#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">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">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">188,800</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">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">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">930,128</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: 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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,027,106</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">2,146,034</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</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; 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">Actavis, Inc., 3.25%, 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">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">3,953,124</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">456</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">485,018</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: 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">758</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">832,555</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">Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (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">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">205,000</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">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (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">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">1,120,600</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">Valeant Pharmaceuticals International, Inc. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">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">2,808,187</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">1,210,375</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%, 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">754</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">767,195</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">11,382,054</FONT></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; 0.7%</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">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">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">510,648</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCP, Inc., 3.88%, 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">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">3,070,878</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">1,670</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">1,897,900</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">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">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">601,484</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">6,080,910</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>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">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">897,600</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">Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (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">4,600</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">4,351,409</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Realogy Corp., 7.63%, 1/15/20 (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">1,993</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">2,147,458</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">7,396,467</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">


<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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_02-63071-bhk 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;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate Bonds</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 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">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">1,890</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">&nbsp;2,389,329</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">477,730</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: 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">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">474,950</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">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">2,070</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,178,675</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">5,520,684</FONT></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="16" 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 (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">940</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">996,400</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 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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,170</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">2,224,250</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,944,593</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">4,168,843</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>Specialty Retail &#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">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">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">2,188,283</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">QVC, Inc., 7.38%, 10/15/20 (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">1,950</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">2,032,875</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">4,221,158</FONT></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>Textiles, Apparel &amp; Luxury Goods &#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">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">977</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">994,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">787,865</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">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">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">688,043</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">2,470,006</FONT></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; 1.3%</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">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">516</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">898,498</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">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">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">1,586,377</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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">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">4,751,656</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">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">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">1,297,062</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">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">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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,129,713</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">10,663,306</FONT></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; 2.4%</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">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">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">1,620,360</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">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">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">981,150</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">Crown Castle Towers LLC, 6.11%, 1/15/40 (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">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,627,370</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">Digicel Group Ltd., 8.25%, 9/30/20 (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">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">874,947</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">Digicel Ltd., 6.00%, 4/15/21 (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">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">1,538,375</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">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">2,325</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">3,338,423</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">SBA Tower Trust, 5.10%, 4/15/42 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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">754,042</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">559,295</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">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">369,688</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">Sprint Communications, Inc. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">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">1,232,250</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">7.00%, 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">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">1,949,746</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,891</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">1,952,457</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">Vodafone Group PLC, 2.50%, 9/26/22</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">910</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">874,529</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">19,672,632</FONT></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: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Corporate Bonds &#151; 71.5%</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 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">585,902,780</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="16" 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="16" 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">5,724</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">5,174,496</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="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">1,210</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">1,316,814</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">3,555</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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,058,129</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 Government International Bond, 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">2,925</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">3,552,597</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">Portugal Government International Bond, 5.13%, 10/15/24 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,250</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">3,595,215</FONT></TD>
     <TD NOWRAP 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
                                         (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">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>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,015,200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Foreign Agency Obligations &#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">18,712,451</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>
&nbsp;

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Municipal Bonds</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 ALIGN="LEFT" WIDTH="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">City of Detroit Michigan, GO, Financial Recovery (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 ALIGN="LEFT" WIDTH="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series B-1, 4.00%, 4/01/44</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></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">251</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">&nbsp;149,423</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="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series B-2, 4.00%, 4/01/44</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">80</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">48,691</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">930</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">1,104,877</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="100%"><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 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">1,390</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">1,855,942</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="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Water &amp; Sewer System, 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 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">770</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">908,631</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="100%"><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 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">1,900</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">2,553,904</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="100%"><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 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">2,535</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">3,373,198</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="100%"><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 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">1,295</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">2,003,702</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="100%"><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 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">2,000</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">2,364,040</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">1,100</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">1,383,382</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="100%"><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 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">1,900</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">2,439,505</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Port Authority of New York &amp; New Jersey, RB, 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 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">780</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">996,489</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">280</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">445,351</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="100%"><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 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">1,720</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">2,721,969</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="100%"><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 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">2,000</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">2,022,520</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="100%" style='border-bottom: solid windowtext 1pt'><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: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">885</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">1,157,536</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="100%" STYLE='border-bottom: Black 2px solid'><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Municipal Bonds &#151; 3.1%</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 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">&nbsp;</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">25,529,160</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="100%" COLSPAN=16><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 ALIGN="LEFT" WIDTH="100%" COLSPAN=16 STYLE='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></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><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>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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="100%"><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 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">1,228</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">1,050,443</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.47%, 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 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">12</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">11</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">2,003</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">1,896,383</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="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-OA21, Class A1, 0.36%, 3/20/47 (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 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">1,354</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">1,065,401</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="100%"><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, 0.37%, 4/25/46
                                         (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 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">542</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">438,358</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="100%" COLSPAN=8><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 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">1,805</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">1,821,894</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="100%" COLSPAN=8><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 4.95%, 6/19/35 (a)</FONT></DIV></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">1,063</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">1,056,125</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="100%"><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 ALIGN="LEFT" WIDTH="100%"><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 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">220</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">213,404</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="100%"><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 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">388</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">350,407</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.35%, 12/25/36 (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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">883</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">762,495</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan 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 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">147</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">124,461</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.67%, 5/25/36 (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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">1,025</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">832,017</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="100%"><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 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">422</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">438,233</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="100%"><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 (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 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">296</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 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">252,403</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">&nbsp;</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">10,302,035</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>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both">


<!-- 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%">16</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk 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_02-63071-bhk 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;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency Mortgage-Backed
     <BR>
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="16" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities &#151; 12.1%</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">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">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">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">&nbsp;147,332</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: 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">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">996,090</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">Series 2007-2, Class A4, 5.63%, 4/10/49 (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">1,500</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">1,592,020</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">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">1,202</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">1,210,147</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, Series 2013-GC15, Class B, 5.11%, 9/10/46 (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">7,183</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,130,589</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">2,193</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">2,326,637</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (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">7,570</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,676,563</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 6.04%, 12/10/49 (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">1,402</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">1,502,428</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 5.77%, 6/10/46 (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">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">3,681,825</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-CR11, Class B, 5.16%, 10/10/46 (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">7,000</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">7,971,124</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">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">1,440,228</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 4.29%, 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">1,670</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">1,616,440</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">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, 5.81%, 6/15/38 (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">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">2,101,702</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">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">3,698,320</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">Series 2010-RR2, Class 2A, 5.89%, 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">1,501</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,574,007</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">1,414,749</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 5.72%, 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">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">782,867</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">GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (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">6,170</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">6,030,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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, 5.79%, 7/10/38 (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">2,242</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,329,492</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">GS
                                         Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (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">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">2,576,909</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,900</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">6,007,286</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 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">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">1,625,389</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">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">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">109,977</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.43%, 12/12/44
                                         (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">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">681,921</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LB-UBS Commercial Mortgage 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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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">9,671</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">10,167,347</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: 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">2,191</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">2,398,390</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (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">8,000</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">8,480,320</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">RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (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">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">982,596</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">Titan Europe PLC, Series 2007-1X, Class A, 8.00%, 1/20/17 (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">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">1,689</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">2,137,693</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 5.94%, 2/15/51 (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">4,447</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">4,740,783</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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <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
     <BR>
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="16" 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 COLSPAN="8" 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 NOWRAP STYLE="text-align: right"><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></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">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">1,395</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">&nbsp;1,503,795</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">Class C, 4.88%, 8/15/45 (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">1,795</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">1,956,771</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">99,591,993</FONT></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></FONT></TD>
</TR>
<TR VALIGN="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">1,372</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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</FONT></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; 0.7%</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">Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 1.85%, 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">30,805</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">2,472,831</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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, 2.20%, 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">11,793</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,179,648</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 2.21%, 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">20,793</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">2,275,500</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">5,927,979</FONT></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: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Non-Agency Mortgage-Backed <BR>
Securities
     &#151; 14.1%</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">115,822,021</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="16" 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="16" 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 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; 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">Bank of America Corp., Series X, 6.25% (a)(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">3,570</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,672,638</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">BNP Paribas SA, 7.20% (a)(b)(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">2,000</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">2,405,000</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">Citigroup, Inc. (a)(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">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">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">2,017,953</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 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">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">4,075,000</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 (a)(b)(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">6.63%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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">1,389,500</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">7.88%</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">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">2,104,116</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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. (a)(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">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">7,000</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">7,533,750</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">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">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">2,936,400</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">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">517,750</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">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">6,000</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">5,902,500</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">Nordea Bank AB, 6.13% (a)(b)(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">2,960</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">3,048,800</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">Societe Generale SA (a)(b)(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">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">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">5,434,686</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: 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">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">2,027,500</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% (a)(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">3,390</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">3,532,990</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">46,598,583</FONT></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; 1.2%</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 Bank of New York Mellon Corp., Series D, 4.50% (a)(d)(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">8,400</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">7,917,000</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">Morgan Stanley, Series H, 5.45%, (a)(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">1,750</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">1,790,688</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">State Street Capital Trust IV, 1.24%, 6/01/77 (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">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">117,600</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">9,825,288</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>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; border-bottom: windowtext 1pt solid"><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 STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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">1,935</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,160,698</FONT></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>Diversified Financial Services &#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">General Electric Capital Corp., Series B, 6.25% (a)(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">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">2,000,250</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">Macquarie Bank Ltd., 10.25%, 6/20/57 (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">1,800</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">2,012,580</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">4,012,830</FONT></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)(e)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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">4,200</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">4,452,000</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"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 4.0%</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">The Allstate 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">5.75%, 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">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">2,162,000</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">4,100</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">4,653,500</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">American International Group, Inc., 8.18%, 5/15/68 (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">1,940</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">2,686,900</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">AXA SA, 6.46% (a)(b)(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">2,050</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">2,189,400</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">Liberty Mutual Group, Inc., 7.00%, 3/07/67&nbsp;(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">1,950</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">1,986,563</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>

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</div><br style="clear:both">


<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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_02-63071-bhk 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>
<!-- agabop mode="ep" last-style="text" -->

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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Preferred 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 STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance (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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">Lincoln National Corp., 6.05%, 4/20/67 (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">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">1,425</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">&nbsp;1,381,359</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">Metlife Capital Trust IV, 7.88%, 12/15/67 (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">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">1,648,013</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">MetLife, Inc., 6.40%, 12/15/66 (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">7,000</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">8,190,000</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">Swiss Re Capital I LP, 6.85% (a)(b)(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">2,120</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">2,224,940</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">Voya Financial, Inc., 5.65%, 5/15/53 (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">4,500</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">4,668,750</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">XL
                                         Group PLC, Series E, 6.50% (a)(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">1,625</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,430,000</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">33,221,425</FONT></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: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Capital Trusts &#151; 12.2%</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">100,270,824</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="16" 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">US
                                         Bancorp, 6.00% (a)(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">300,000</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">8,169,000</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">Wells Fargo &amp; Co., 5.85% (a)(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">75,000</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">1,938,000</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">10,107,000</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"><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, 5.50% (a)(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">92,000</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">2,294,480</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: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SCE Trust III, 5.75% (a)(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">25,314</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="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">708,792</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">3,003,272</FONT></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>Thrifts &amp; Mortgage Finance &#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">Fannie Mae, Series S, 8.25% (a)(e)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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">45,000</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: px; TEXT-INDENT: 0px"><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">13,155,272</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="16" 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="16" 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</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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">29,853</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">780,871</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 STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Securities &#151; 13.9%</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 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">114,206,967</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="16" 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; 3.0%</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">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 (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">14,360</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">13,070,414</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</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">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">2,267,722</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">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">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">1,672,575</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">5.37%, 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">2,175</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">2,705,846</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">Resolution Funding Corp. (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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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%, 4/15/30</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,919,656</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">0.00%, 7/15/18 &#150; 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">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">998,564</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">24,634,777</FONT></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" NOWRAP 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>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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">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">454,475</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">Series 1991-87, Class S, 26.23%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,029</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">Series G-49, Class S, 1,017.02%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(i)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 1,063.28%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">39</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
</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, 1,125.28%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(i)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">701</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 2,479.84%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,430</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: 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">2</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 9.47%, 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">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(i)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 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">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">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 COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px;
TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">Series 0019, Class R, 16,299.70%, 3/15/20 (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</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">179</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">470,063</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>
&nbsp;

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<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; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S. Government Sponsored Agency
     <BR>
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="10" NOWRAP 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>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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 (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">Series 2013-K24, Class B, 3.50%, 11/25/45 (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">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">3,500</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;3,558,926</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">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">1,870</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">2,056,570</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-K706, Class C, 4.03%, 11/25/44 (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">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">344,649</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">5,960,145</FONT></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="16" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 1.5%</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">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 (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">79</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,667</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: 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">10,758</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,009,561</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-M9, Class X1, 4.03%, 12/25/17 (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">23,862</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">2,109,185</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">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">8,500</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">1,099,761</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">62</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">42</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">7</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(i)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
</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, 19.91%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,658</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">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">48</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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: 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">21</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 1,088.62%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">2,448</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-12, Class S, 1,155.63%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">1,371</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: 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, 1.55%, 12/25/18 (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">4,912</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">251,248</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 1.78%, 5/25/19 (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">16,978</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084,643</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: 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">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">107,712</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,036</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1043, Class H, 44.23%, 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">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">4,159</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1054, Class I, 866.43%, 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">17</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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">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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">149</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 1,176.57%, 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">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">534</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></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, 197,723.44%, 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(i)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
</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>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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, 6.03%, 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">8,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,544,384</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-116, Class KS, 6.30%, 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">4,022</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">517,061</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 2011-52, Class NS, 6.50%, 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">23,655</FONT></TD>
     <TD NOWRAP STYLE="text-align: 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">4,146,365</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">11,894,052</FONT></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>Mortgage-Backed Securities &#151; 6.9%</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">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%, 8/01/43</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">13,305</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">13,579,040</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">4.00%, 12/01/41 &#150; 12/01/43</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">9,433</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">10,155,157</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/01/41 &#150; 4/01/42</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">22,154</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,151,627</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: 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">3,696</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">4,122,073</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: 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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,067</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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,342,887</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">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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,729</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,962,673</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">Freddie Mac Mortgage-Backed Securities, 6.00%, 5/1/16 &#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">177</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">184,429</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">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>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</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%, 8/15/33</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">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">69,903</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: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(i)&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">288</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">56,568,077</FONT></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="16" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Principal Only Collateralized Mortgage <BR>
Obligations &#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">Fannie Mae Mortgage-Backed Securities, 0.00%, 2/25/23
                                         &#150; 6/25/23 (h)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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">23</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">22,045</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: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Government Sponsored <BR>
Agency Securities
     &#151; 12.2%</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">99,549,159</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>


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</div><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%">18</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk PAGE POSITION: 8 -->
<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_02-63071-bhk PAGE POSITION: 9 -->
<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" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; padding-top: 9"><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: 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 ALIGN="LEFT" WIDTH="100%"><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><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></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="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 2/15/31</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">USD</FONT></DIV></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">375</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">&nbsp;528,633</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="100%"><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 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">3,251</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">4,625,562</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="100%"><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 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">1,605</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">2,171,013</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="100%"><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 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">5,460</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">5,901,064</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="100%"><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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">2,000</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">2,317,188</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="100%"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 11/15/44</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 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">67,500</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">73,089,810</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="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Note, 2.25%, 11/15/24 (d)</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">17,680</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">18,052,942</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="100%" STYLE='border-bottom: Black 2px solid'><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Treasury Obligations &#151; 13.0%</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 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">&nbsp;</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">106,686,212</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="100%" STYLE='border-bottom: Black 2px solid'><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Long-Term Investments</B><BR><B> (Cost &#151;
                                         $1,110,277,171) &#151; 143.4%</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 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">&nbsp;</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">1,175,117,307</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="100%" COLSPAN=16><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 ALIGN="LEFT" WIDTH="100%" STYLE='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 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"><B>Shares</B></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">&nbsp;</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="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlackRock Liquidity Funds, TempFund, Institutional Class,
                                         0.05% (j)(k)</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <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 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">3,264,015</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">3,264,015</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="100%" STYLE='border-bottom: Black 2px solid'><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Short-Term Securities</B><BR><B> (Cost &#151;
                                         $3,264,015) &#151; 0.4%</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 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">&nbsp;</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">3,264,015</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>
&nbsp;

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Options Purchased</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>&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>&nbsp;</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>(Cost &#151; $2,333,334) &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,991,055</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="100%" STYLE='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; $1,115,874,520) &#151; 144.0%</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 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">&nbsp;</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">1,180,372,377</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="100%" COLSPAN=16><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 ALIGN="LEFT" WIDTH="100%" COLSPAN=16 STYLE='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>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>(Premiums Received &#151; $8,319,002) &#151; (1.1)%</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 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">&nbsp;</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">(8,965,566</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="100%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Investments, Net of Options Written</B><BR><B> (Cost &#151; $1,107,555,518) &#151;
                                         142.9%</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">&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 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">1,171,406,811</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="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Liabilities in Excess of Other Assets &#151; (42.9)%</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 ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></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">&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 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">(352,092,858</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><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 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">&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 WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 2px'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 2px'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">819,313,953</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 2px'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>


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</div><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-color: gray; border-bottom-style: solid; border-bottom-width: 1pt; background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(a)</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" WIDTH="98%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Variable rate security. Rate shown is as of report date.</FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(b)</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" WIDTH="98%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">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.</FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(c)</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" WIDTH="98%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">When-issued security. Unsettled when-issued transactions 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-top: Black 1pt solid; 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-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; 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-top: Black 1pt solid; border-bottom: 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></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BNP Paribas Securities 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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">981,036</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Wells Fargo Securities, LLC</FONT></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">984,240</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 ALIGN="CENTER" COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">$2</FONT></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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(h)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(i)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(j)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of
Section 2(a)(3) of the 1940 Act 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 52.5%; text-align: left; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Affiliate</B></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Shares<BR> Held at<BR> August 31,
2014</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Net<BR> Activity</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Shares<BR> Held at<BR> February 28,
2015</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Income</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 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">2,521,541</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">3,264,015</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">1,469</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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(k)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%"><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%"><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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, reverse repurchase agreements outstanding 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 ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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 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>Interest<BR> Rate</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="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Trade<BR> Date</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="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Maturity<BR>
Date<SUP>1</SUP></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 STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <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>Face Value</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 STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <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>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.28%</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;2/10/14&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">Open</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;3,373,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;3,383,494</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">2/10/14</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">Open</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">2,369,000</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%; 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">2,377,515</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">2/10/14</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">Open</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">1,348,000</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%; 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">1,353,039</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">2/10/14</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">Open</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">2,289,000</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%; 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">2,297,243</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">2/10/14</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">Open</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">1,355,000</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%; 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">1,360,063</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">2/10/14</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">Open</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">1,416,000</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%; 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">1,421,271</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</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">2/10/14</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">Open</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">1,073,000</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%; 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">1,077,217</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">2/10/14</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">Open</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">1,233,000</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%; 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">1,237,910</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">2/10/14</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">Open</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">3,805,000</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%; 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">3,819,213</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">2/10/14</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">Open</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">1,410,000</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%; 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">1,415,550</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">2/10/14</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">Open</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">827,000</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%; 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">830,441</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">2/10/14</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">Open</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">1,853,000</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%; 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">1,860,153</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 8pt">See Notes to
                                         Financial Statements.</FONT><BR></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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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_02-63071-bhk 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>
<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 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%"><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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):</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 ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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 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>Interest<BR> Rate</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>Trade<BR> Date</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>Maturity<BR>
Date<SUP>1</SUP></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 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"><B>Face Value</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 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"><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</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;2/10/14&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">Open</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;496,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;498,561</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</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">4/16/14</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">Open</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">2,000,000</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%; 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">2,002,989</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.18%</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">4/16/14</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">Open</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">6,100,000</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%; 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">6,107,365</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</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">5/13/14</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">Open</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">1,610,000</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%; 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">1,614,614</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">5/13/14</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">Open</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">1,172,000</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%; 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">1,175,671</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">5/13/14</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">Open</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">633,000</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%; 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">635,190</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</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">5/13/14</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">Open</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">3,880,000</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%; 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">3,892,995</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">534,000</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%; 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">536,171</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">556,000</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%; 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">557,973</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">354,000</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%; 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">355,420</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">272,000</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%; 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">273,195</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">979,000</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%; 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">982,210</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">468,000</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%; 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">469,656</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">294,000</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%; 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">295,255</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">5/14/14</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">Open</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">738,000</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%; 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">740,352</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">(1.75)%</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">6/25/14</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">Open</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">1,102,710</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%; 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">1,089,363</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">6/26/14</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">Open</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">2,981,250</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%; 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">2,988,888</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">1,069,000</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%; 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">1,071,763</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">1,823,000</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%; 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">1,827,394</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">2,172,000</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%; 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">2,177,149</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">968,000</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%; 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">970,544</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">963,000</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%; 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">965,533</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">1,884,000</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%; 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">1,888,526</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">490,000</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%; 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">491,542</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">1,203,000</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%; 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">1,206,210</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">834,000</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%; 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">836,364</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">7/07/14</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">Open</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">853,000</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%; 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">855,407</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.55%</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">9/16/14</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">Open</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">3,198,750</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%; 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">3,207,263</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America Securities LLC</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">0.14%</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">10/28/14</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">Open</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">1,306,000</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%; 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">1,307,075</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America Securities LLC</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">0.14%</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">10/28/14</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">Open</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">820,000</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%; 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">820,392</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">10/28/14</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">Open</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">847,000</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%; 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">848,018</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.34%</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">10/28/14</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">Open</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">3,986,000</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%; 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">3,990,630</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.34%</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">10/28/14</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">Open</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">1,321,000</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%; 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">1,322,535</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">10/28/14</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">Open</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">4,751,000</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%; 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">4,756,681</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.36%</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">10/28/14</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">Open</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">1,509,000</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%; 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">1,510,856</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.36%</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">10/28/14</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">Open</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">2,407,000</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%; 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">2,409,961</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.36%</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">10/28/14</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">Open</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">967,000</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%; 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">968,189</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">10/29/14</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">Open</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">3,228,000</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%; 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">3,239,030</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">10/31/14</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">Open</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">2,147,000</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%; 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">2,149,526</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">10/31/14</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">Open</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">821,000</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%; 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">821,966</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.39%</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">10/31/14</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">Open</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">1,904,000</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%; 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">1,906,240</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">(3.00)%</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">11/10/14</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">Open</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">866,000</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%; 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">857,990</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">11/10/14</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">Open</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">1,076,000</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%; 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">1,077,257</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">11/10/14</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">Open</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">1,032,000</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%; 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">1,033,114</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</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">11/10/14</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">Open</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">4,796,000</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%; 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">4,801,176</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">4,289,500</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%; 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">4,294,790</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">7,682,500</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%; 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">7,691,975</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">4,169,900</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%; 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">4,175,043</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">4,358,094</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%; 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">4,363,469</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">4,691,341</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%; 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">4,697,127</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Securities (USA), Inc.</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">0.40%</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">11/10/14</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">Open</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">7,707,000</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%; 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">7,716,505</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.13%</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">11/10/14</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">Open</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">1,030,000</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%; 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">1,030,413</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">11/10/14</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">Open</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">854,000</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%; 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">854,369</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">11/10/14</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">Open</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">1,353,000</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%; 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">1,353,584</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">11/10/14</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">Open</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">6,547,000</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%; 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">6,549,826</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">11/10/14</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">Open</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">1,358,000</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%; 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">1,358,586</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">2,679,000</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%; 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">2,681,891</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,564,000</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%; 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">1,565,688</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">4,083,000</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%; 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">4,087,406</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">2,131,000</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%; 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">2,133,300</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,754,000</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%; 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">1,755,893</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">857,000</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%; 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">857,925</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">4,769,000</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%; 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">4,774,146</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,211,000</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%; 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">1,212,307</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,125,000</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%; 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">1,126,214</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 8pt">See Notes to
                                         Financial Statements.</FONT><BR></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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk 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_02-63071-bhk PAGE POSITION: 11 -->
<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 STYLE="text-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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, reverse repurchase agreements outstanding 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 ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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 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>Interest<BR> Rate</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>Trade<BR> Date</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>Maturity<BR>
Date<SUP>1</SUP></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 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"><B>Face Value</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 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"><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;2,137,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;2,139,306</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,147,000</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%; 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">1,148,238</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">2,914,000</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%; 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">2,917,145</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,009,000</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%; 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">1,010,089</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">488,000</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%; 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">488,527</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">1,310,000</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%; 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">1,311,414</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.35%</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">11/10/14</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">Open</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">2,818,000</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%; 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">2,821,041</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,212,000</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%; 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">1,213,271</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,911,000</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%; 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">1,913,003</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,520,000</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%; 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">1,521,593</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">3,932,000</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%; 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">3,936,122</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">176,000</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%; 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">176,184</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,206,000</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%; 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">1,207,264</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,409,000</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%; 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">1,410,477</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,584,000</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%; 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">1,585,661</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,550,000</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%; 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">1,551,625</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,447,000</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%; 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">1,448,517</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">3,614,000</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%; 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">3,617,789</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">4,265,000</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%; 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">4,269,471</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,369,000</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%; 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">1,370,435</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">1,360,000</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%; 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">1,361,426</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">11/10/14</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">Open</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">942,000</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%; 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">942,987</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,600,000</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%; 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">1,601,533</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,924,000</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%; 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">1,925,844</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,817,000</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%; 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">1,818,741</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,736,000</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%; 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">1,737,664</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">2,020,000</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%; 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">2,021,936</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,961,000</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%; 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">1,962,879</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,900,000</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%; 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">1,901,821</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,701,000</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%; 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">1,702,630</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">1,878,000</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%; 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">1,879,800</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.40%</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">12/19/14</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">Open</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">2,080,000</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%; 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">2,081,993</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</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">12/19/14</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">Open</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">3,421,063</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%; 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">3,423,389</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.50%</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">12/19/14</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">Open</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">1,637,000</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%; 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">1,638,569</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.50%</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">12/19/14</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">Open</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">1,855,000</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%; 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">1,856,778</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.07%</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">1/21/15</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">Open</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">2,413,264</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%; 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">2,413,620</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.09%</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">1/21/15</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">Open</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">547,968</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%; 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">548,050</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.11%</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">1/21/15</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">Open</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">3,057,600</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%; 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">3,058,052</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.11%</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">1/21/15</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">Open</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">3,057,600</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%; 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">3,058,052</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.13%</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">1/21/15</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">Open</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">1,124,000</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%; 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">1,124,166</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.14%</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">1/21/15</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">Open</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">2,405,000</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%; 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">2,405,355</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.22%</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">2/11/15</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">3/12/15</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">42,315,000</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%; 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">42,322,758</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.00%</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">2/12/15</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">Open</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">72,435,000</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%; 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">72,437,052</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">Credit Suisse Securities (USA) 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 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">0.07%</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">2/17/15</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">Open</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">15,281,250</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>
     <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">15,282,167</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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</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 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 NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">367,462,790</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">367,812,199</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="7%" ALIGN="right" 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="93%" 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">As
                                         of February 28, 2015, financial futures contracts outstanding were as follows:</FONT></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 COLSPAN="2" STYLE="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Contracts</B></FONT><FONT STYLE="font-size: 8pt"><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Long/(Short)</B></FONT></FONT> </TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Issue</B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Exchange</B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; 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>Value</B></FONT></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; 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>Appreciation</B></FONT><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(Depreciation)</B></FONT></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(248)</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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-Year U.S. Treasury Note</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">Chicago Board of Trade</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">June 2015</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP 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="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">31,693,625</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">&nbsp;25,553</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(342)</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">2-Year U.S. Treasury Note</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">Chicago Board of Trade</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">June 2015</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">74,753,719</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">17,409</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">173&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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-Year U.S. Treasury Note</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">Chicago Board of Trade</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">June 2015</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,635,656</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">(14,549</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90 Day Euro Future</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">ICE Futures Europe</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">June 2015</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">GBP</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47,955,864</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">(4,018</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">640&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90 Day Euro Future</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">Chicago Mercantile</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">June 2015</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">159,400,000</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">44,768</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">Ultra Long U.S. Treasury Bond</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">Chicago Board of Trade</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">June 2015</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38,704,688</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">44,589</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(608)</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90-Day Euro-Dollar</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">Chicago Mercantile</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">September 2015</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">151,156,400</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">(50,721</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(250)</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90 Day Euro Future</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">ICE Futures Europe</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">September 2015</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">GBP</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47,917,268</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">8,217</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(110)</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90-Day Euro-Dollar</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">Chicago Mercantile</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">March 2016</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,227,750</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">(16,677</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</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">90 Day Euro Future</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">Chicago Mercantile</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">December 2016</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: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,596,250</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">29,664</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: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(100)</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"><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">90 Day Euro Future</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">Chicago Mercantile</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">December 2017</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: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,467,500</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">(62,003</FONT></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"><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><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><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 NOWRAP STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">22,232</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>
<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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_02-63071-bhk 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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#149;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" WIDTH="98%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">As of February 28, 2015, forward foreign currency exchange contracts outstanding
                                  were as follows:</FONT></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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency Purchased</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency Sold</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; 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-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Settlement</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-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; 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>Appreciation/ <BR>
(Depreciation)</B></FONT></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">276,000</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">309,469</FONT></TD>
     <TD 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">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">4/21/15</FONT></DIV></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">&nbsp;(433</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 STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">62,000</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">USD</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">70,121</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">Standard Chartered Bank</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">4/21/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">80,000</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">USD</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">90,577</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">State Street Bank and Trust Co.</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">4/21/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT 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</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: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,573,000</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">USD</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,374,602</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">State Street Bank and Trust Co.</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">4/21/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">53,057</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: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,696,262</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">EUR</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,203,000</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">4/21/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109,887</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; 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="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19,117,743</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,603,000</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">Bank of America 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">4/21/15</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(332,855</FONT></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></FONT></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&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 STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&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 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="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">&nbsp;(172,045</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>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-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 STYLE="text-align: left; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC interest rate swaptions purchased 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="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Description</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>Counterparty</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>Put/<BR> Call</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>Exercise<BR> Rate</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>Pay/Receive<BR> Exercise Rate</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>Floating Rate<BR>
Index</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>Expiration<BR> Date</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="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</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>5-Year Interest Rate Swap</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 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">Call</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">1.95%</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">Pay</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">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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/30/15</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">&nbsp;&nbsp;36,500</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">512,359</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>5-Year Interest Rate Swap</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">Call</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">1.75%</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">Pay</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-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">2/12/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,000</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">60,635</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Call</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">2.25%</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">Pay</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-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">2/13/17</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">3,000</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">94,201</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Call</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">2.25%</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">Pay</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-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">2/17/17</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">3,000</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">94,226</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Call</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">4.50%</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">Pay</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-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">5/22/18</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,000</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">142,903</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Put</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">2.35%</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">Receive</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-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">5/22/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,600</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">14,387</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Put</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">2.35%</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">Receive</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-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">5/22/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,600</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">32,370</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>5-Year Interest Rate Swap</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">Put</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">1.95%</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">Receive</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-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">10/30/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">36,500</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">517,761</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">Put</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">4.00%</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">Receive</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-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">2/03/22</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">5,000</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">173,992</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10-Year Interest Rate Swap</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">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">Put</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">4.00%</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">Receive</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-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">2/04/22</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">5,000</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">173,991</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>10-Year Interest Rate Swap</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">Put</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">4.00%</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">Receive</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">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">2/11/22</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="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,000</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">174,230</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-indent: 0px"><B>Total</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: 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>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt 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 2pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;1,991,055</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%"><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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC interest rate swaptions written 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="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Description</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>Counterparty</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>Put/<BR> Call</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>Exercise<BR> Rate</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>Pay/Receive<BR> Exercise Rate</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>Floating Rate<BR>
Index</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>Expiration<BR> Date</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="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</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: auto; text-indent: 0">5-Year Interest Rate Swap</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 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">Call</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">1.45%</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">Pay</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">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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/30/15</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">&nbsp;&nbsp;36,500</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(180,474</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">2.50%</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">Pay</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-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">5/22/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,000</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">(797,684</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">2.79%</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">Pay</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-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">11/17/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">27,000</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">(1,461,661</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">2.40%</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">Pay</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-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">12/21/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,000</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">(157,635</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.60%</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">Pay</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-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">1/20/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,400</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">(45,601</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">BNP Paribas S.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">Call</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">1.55%</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">Pay</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-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">1/21/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">27,700</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">(176,174</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Call</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">0.44%</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">Pay</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,680</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">(61,173</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Call</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">0.48%</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">Pay</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,670</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">(71,186</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.60%</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">Pay</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-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">1/26/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,300</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">(45,411</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Call</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">1.40%</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">Pay</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-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">2/12/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,000</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">(60,945</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">2.50%</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">Pay</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-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">3/17/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,000</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">(452,022</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">2.60%</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">Pay</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-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">3/17/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,000</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">(515,930</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.75%</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">Pay</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-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">1/09/17</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">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">(39,226</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Credit Suisse International</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">Call</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">1.75%</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">Pay</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-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">1/09/17</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">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">(39,226</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">HSBC Bank USA, 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">Call</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">1.75%</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">Pay</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-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">1/17/17</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">3,300</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">(52,159</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Credit Suisse International</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">Call</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">2.47%</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">Pay</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-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">2/06/17</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">4,900</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">(197,340</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.50%</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">Pay</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-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">2/13/17</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">4,500</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">(49,761</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.90%</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">Pay</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-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">2/13/17</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">6,900</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">(138,289</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Call</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">1.50%</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">Pay</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-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">2/17/17</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">4,500</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">(49,897</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">3.50%</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">Receive</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-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">5/22/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,000</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">(1,515</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Barclays Bank 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">Put</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">2.70%</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">Receive</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-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">5/26/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,000</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">(9,275</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">HSBC 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">Put</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">2.70%</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">Receive</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-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">5/26/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,000</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">(9,275</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Put</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">2.30%</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">Receive</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-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">10/30/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">36,500</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">(282,143</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">2.79%</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">Receive</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-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">11/17/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">27,000</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">(302,420</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">2.70%</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">Receive</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-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">12/21/15</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,000</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">(77,144</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">2.60%</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">Receive</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-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">1/20/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,400</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">(130,035</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">BNP Paribas S.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">Put</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">2.55%</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">Receive</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-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">1/21/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">27,700</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">(613,369</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Put</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">0.44%</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">Receive</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,680</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">(42,281</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Put</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">0.48%</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">Receive</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,670</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">(37,389</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Barclays Bank 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">Put</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">0.48%</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">Receive</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,650</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">(37,277</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Barclays Bank 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">Put</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">0.55%</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">Receive</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-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">1/22/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,000</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">(45,599</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">2.60%</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">Receive</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-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">1/26/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,300</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">(130,373</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">3.60%</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">Receive</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-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">3/17/16</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,000</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">(55,763</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: auto; text-indent: 0">5-Year Interest Rate Swap</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">Put</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">0.60%</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">Receive</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-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">4/26/16</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,000</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">(87,944</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: auto; text-indent: 0">10-Year Interest Rate Swap</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">Put</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">6.00%</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">Receive</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-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">5/22/18</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,000</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">(88,235</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%">22</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk 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_02-63071-bhk PAGE POSITION: 13 -->
<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 STYLE="text-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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC interest rate swaptions written 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Description</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>Counterparty</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>Put/<BR> Call</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>Exercise<BR> Rate</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>Pay/Receive<BR> Exercise Rate</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>Floating Rate<BR>
Index</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>Expiration<BR> Date</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="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&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>10-Year Interest Rate Swap</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 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">Put</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">2.75%</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">Receive</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">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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">1/09/17</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">2,500</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(83,722</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>10-Year Interest Rate Swap</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">Credit Suisse International</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">Put</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">2.75%</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">Receive</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-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">1/09/17</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">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">(83,722</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>10-Year Interest Rate Swap</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">Put</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">3.50%</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">Receive</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-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">1/09/17</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">4,200</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">(60,475</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>10-Year Interest Rate Swap</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">Barclays Bank 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">Put</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">3.50%</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">Receive</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-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">1/09/17</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">4,400</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">(63,355</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>10-Year Interest Rate Swap</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">BNP Paribas S.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">Put</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">3.50%</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">Receive</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-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">1/09/17</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">9,300</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">(133,909</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>10-Year Interest Rate Swap</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">Put</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">3.55%</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">Receive</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-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">1/09/17</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">&nbsp;&nbsp;15,000</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">(203,627</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>10-Year Interest Rate Swap</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">Put</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">3.60%</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">Receive</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-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">1/09/17</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">4,400</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">(56,303</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>10-Year Interest Rate Swap</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">Put</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">2.70%</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">Receive</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-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">1/12/17</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">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">(35,475</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>10-Year Interest Rate Swap</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">HSBC Bank USA, 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">Put</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">2.75%</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">Receive</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-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">1/17/17</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">3,300</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">(111,609</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>10-Year Interest Rate Swap</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">Put</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">2.75%</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">Receive</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-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">1/30/17</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">2,000</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">(68,708</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>10-Year Interest Rate Swap</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">Put</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">2.75%</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">Receive</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-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">1/30/17</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">2,000</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">(68,708</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>10-Year Interest Rate Swap</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">Put</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">2.75%</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">Receive</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-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">1/30/17</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">4,000</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">(137,415</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>10-Year Interest Rate Swap</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">Barclays Bank 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">Put</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">2.75%</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">Receive</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-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">1/30/17</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">6,800</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">(233,606</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>10-Year Interest Rate Swap</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">Put</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">2.70%</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">Receive</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-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">2/02/17</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">2,000</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">(72,686</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>10-Year Interest Rate Swap</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">Credit Suisse International</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">Put</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">2.47%</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">Receive</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-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">2/06/17</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">4,900</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">(224,348</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>10-Year Interest Rate Swap</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">Put</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">2.90%</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">Receive</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-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">2/13/17</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">6,900</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">(206,010</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>10-Year Interest Rate Swap</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">Put</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">3.50%</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">Receive</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-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">2/13/17</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">3,000</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">(46,205</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>10-Year Interest Rate Swap</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">Put</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">3.50%</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">Receive</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-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">2/17/17</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">3,000</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">(46,624</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>10-Year Interest Rate Swap</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">Put</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">3.70%</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">Receive</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-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">1/08/18</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,000</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">(101,844</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>10-Year Interest Rate Swap</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">Put</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">6.00%</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">Receive</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-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">2/03/22</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">10,000</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">(128,314</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>10-Year Interest Rate Swap</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">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">Put</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">6.00%</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">Receive</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-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">2/04/22</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">10,000</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">(128,340</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>10-Year Interest Rate Swap</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">JPMorgan Chase Bank 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">Put</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">6.00%</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">Receive</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">3-Month LIBOR</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">2/11/22</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="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,000</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">(128,730</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><B>Total</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: 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>&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">(8,965,566</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; vertical-align: bottom"><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%"><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; width: 98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, centrally cleared interest rate swaps outstanding 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="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 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>Floating<BR> Rate</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>Clearinghouse</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>Effective<BR> Date</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>Expiration<BR> Date</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="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>0.56%<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 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"><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">6/25/15</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="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">41,800</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">(36,182</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>1.64%<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 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">4/06/15<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">5/31/19</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">34,400</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">(141,235</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>1.65%<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 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">4/06/15<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">5/31/19</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">21,100</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">(91,464</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>1.65%<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 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">2/27/20</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">16,100</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">(3,213</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>0.27%<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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6-Month EURIBOR</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">3/03/15<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">3/03/20</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,900</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">159</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>0.27%<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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6-Month EURIBOR</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">3/03/15<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">3/03/20</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">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,100</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">(404</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>2.18%<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 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">3/31/15<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">10/31/21</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 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="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">(189,238</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>1.70%<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 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">1/16/22</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">1,200</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">(15,041</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 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 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="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">100,679</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,200</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">101,331</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>2.19%<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 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">12/18/24</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,700</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">24,181</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>2.15%<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 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">2/19/25</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,050</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">(2,500</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>2.08%<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 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">3/02/15<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">3/02/25</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,000</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">(8,835</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>2.08%<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 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">3/02/15<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">3/02/25</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,000</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">(8,558</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>2.36%<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 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">1/12/16<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">1/12/26</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">6,500</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">11,547</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>2.18%<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 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">2/08/16<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">2/08/26</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">2,200</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">(34,063</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>2.20%<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 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">2/04/45</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">700</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">45,280</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 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">2/26/45</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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">700</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">13,951</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>2.61%<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 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">1/12/16<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">1/12/46</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">2,800</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">(23,274</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>2.42%<SUP>1</SUP></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">3-Month LIBOR</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 Mercantile</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">2/08/16<SUP>2</SUP></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">2/08/46</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="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">900</FONT></TD>
     <TD NOWRAP 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;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">31,053</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><B>Total</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: 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>&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">&nbsp;(225,826</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 7%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="width: 93%; text-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" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 7%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>2</SUP></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="width: 93%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Forward swap.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 7%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>3</SUP></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="width: 93%; text-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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<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">As
of February 28, 2015, OTC credit default swaps &#151; buy protection outstanding 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 25%; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Issuer</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Pay<BR> Fixed<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 2%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Premiums<BR> Paid</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="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Depreciation</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 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">5.00%</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">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">6/20/15</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">USD</DIV></FONT></TD>
     <TD NOWRAP 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">2,800</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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$(39,666)</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$&nbsp;&nbsp;&nbsp;&nbsp;9,936</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">(49,602</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 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">1.00%</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">Barclays Bank PLC</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">12/20/16</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 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">3,600</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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(45,958)</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP 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">90,965</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">(136,923</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">Westpac Banking 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">1.00%</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">Deutsche Bank AG</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">9/20/17</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 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 NOWRAP STYLE="width: 5%">&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">(9)</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP 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">8</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</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">Australia &amp; New Zealand Banking Group Ltd.</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">1.00%</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">Deutsche Bank AG</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">9/20/17</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">USD</DIV></FONT></TD>
     <TD NOWRAP 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 NOWRAP STYLE="width: 5%; 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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(9)</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP 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">8</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">(17</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"><B>Total</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="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; 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 NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP 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">$(85,642)</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP 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">$100,917</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(186,559</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>
<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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_02-63071-bhk PAGE POSITION: 14 -->
<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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC credit default swaps &#151; sold protection outstanding 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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Issuer/Index</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Receive<BR> Fixed<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Credit Rating<SUP>1</SUP></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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)<SUP>2</SUP></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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</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="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Premiums<BR> Received</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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation</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">MetLife, Inc.</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">1.00%</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">Morgan Stanley Capital Services LLC</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">9/20/16</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">A-</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="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">1,810</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">$21,882</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(46,316</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">68,198</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">MetLife, Inc.</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">1.00%</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">9/20/16</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">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">USD</DIV></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">1,460</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; text-align: right">17,650</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">(38,098</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">55,748</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">MetLife, Inc.</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">1.00%</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">Morgan Stanley Capital Services 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">9/20/16</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">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">USD</DIV></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">550</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; text-align: right">6,649</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">(12,553</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">19,202</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">MetLife, Inc.</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">1.00%</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">9/20/16</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">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">USD</DIV></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">1,000</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; text-align: right">12,089</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">(25,397</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">37,486</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">MetLife, Inc.</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">1.00%</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">Credit Suisse International</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">9/20/16</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">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">USD</DIV></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">1,080</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; text-align: right">13,056</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">(30,819</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">43,875</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">MetLife, Inc.</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">1.00%</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">12/20/16</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">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">USD</DIV></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">595</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; text-align: right">8,053</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">(15,664</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">23,717</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">MetLife, Inc.</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">1.00%</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">Citibank 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">12/20/16</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">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">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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">575</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; text-align: right">7,791</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">(16,499</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">24,290</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">&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: 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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&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="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>
</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</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: 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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; 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;87,170</DIV></FONT></TD>
     <TD NOWRAP 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;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(185,346</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;272,516</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">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>2</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: 8pt Arial, Helvetica, Sans-Serif">
<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">As
of February 28, 2015, OTC interest rate swaps outstanding 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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Effective<BR> Date</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)</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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Premiums<BR> Paid<BR> (Received)</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="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0; text-indent: 0">0.00%<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 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"><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="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">9/26/17<SUP>4</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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/26/19</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="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,000</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;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,354</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&#151;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,354</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
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.00%<SUP>3</SUP></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">3-Month LIBOR</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">JPMorgan Chase Bank 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">1/30/17<SUP>4</SUP></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">1/30/25</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="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,500</FONT></TD>
     <TD NOWRAP 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;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,524</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&#151;</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">2,524</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&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;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;11,878</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 2px solid; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&#151;</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;11,878</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">Trust pays the floating rate and receives the fixed
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>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Forward swap.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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. 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. 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. The
three levels of the fair value hierarchy are as follows:</DIV></FONT></TD>
</TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 5%; 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">Level 1 &#151; unadjusted quoted prices 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; 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">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; 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">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: 8pt Arial, Helvetica, Sans-Serif">
<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. For information about the Trust&#146;s policy regarding valuation of investments and derivative financial instruments, 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">As
of February 28, 2015, the following tables summarize the Trust&#146;s investments and derivative financial instruments categorized in the disclosure
hierarchy:</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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">89,628,686</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">19,079,871</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">108,708,557</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">573,959,430</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">11,943,350</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">585,902,780</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">18,712,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">18,712,451</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">25,529,160</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">&#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">25,529,160</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="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">109,791,289</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,030,732</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">115,822,021</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">13,936,053</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">100,270,914</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">114,206,967</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="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">99,549,159</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">99,549,159</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">106,686,212</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">106,686,212</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">3,264,015</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">3,264,015</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">1,991,055</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">1,991,055</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;17,200,068</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,126,118,356</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;37,053,953</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,180,372,377</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>
<!-- 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%">24</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_02-63071-bhk PAGE POSITION: 15 -->
<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 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 ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">272,516</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">272,516</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">162,944</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">162,944</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">170,200</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">340,059</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">510,259</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="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">(186,559</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">(186,559</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">(334,989</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">(334,989</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 NOWRAP STYLE="text-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">(147,968</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">(9,519,573</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">&#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">(9,667,541</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;22,232</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(9,265,602</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(9,243,370</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: 8pt Arial, Helvetica, Sans-Serif">
<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 or face value, including accrued interest, for
financial statement purposes. As of February 28, 2015, 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">263,422</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">263,422</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">5,716,000</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">&#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">5,716,000</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">1,017,000</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">1,017,000</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">55,692</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">55,692</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">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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(367,812,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(367,812,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;7,052,114</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(367,812,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(360,760,085</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>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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">During the six months ended February 28, 2015, there were no transfers between Level 1 and Level 2.</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">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>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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>Asset-Backed <BR>
Securities</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>Corporate<BR> Bonds</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>Non-Agency <BR>
Mortgage-<BR>
Backed
<BR>
Securities</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 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, 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: 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">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">&#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">15,533,159</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>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: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(6,237,350</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,409,020</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">(8,646,370</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">(81,991</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">344</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(81,647</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">(146,511</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,472,146</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,618,653</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>3,4</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: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(627,987</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">(402,714</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">14,187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,016,514</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: 6px; TEXT-INDENT:
-6px">Purchases<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: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">19,417,871</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,449,910</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,016,201</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">32,883,982</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">&#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</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</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 February 28, 2015<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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;19,079,871</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;11,943,350</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;6,030,732</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;37,053,953</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 February 28, 2015<SUP>4</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(627,987</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(731,186</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">14,187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,344,986</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>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2014, the Trust used significant
unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $8,646,370 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>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 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>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 still held at February 28, 2015 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: 8pt Arial, Helvetica, Sans-Serif">
<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>
<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_02-63071-bhk 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>

<!-- Field: Split-Segment; Name: [INSERT NAME HERE] -->



<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;<BR>
February 28, 2015 (Unaudited)</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;">
<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Common Stocks</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size:
8pt"><B>&nbsp;<BR>Shares</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Auto Components &#151; 0.3%</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></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">The Goodyear Tire &amp; Rubber Co.</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 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">&nbsp;</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">197,824</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">5,287,835</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>Capital Markets &#151; 1.7%</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></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">American Capital Ltd. (a)</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>&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">1,434,697</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">20,946,576</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">E*Trade Financial Corp. (a)</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>&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">246,100</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">6,407,214</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">Uranium Participation Corp. (a)</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>&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">176,860</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="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">789,440</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">28,143,230</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>Chemicals &#151; 0.6%</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></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">Advanced Emissions Solutions, Inc. (a)</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>&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">168,580</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">2,798,428</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">Huntsman 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">&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">278,317</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="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">6,251,000</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">9,049,428</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>Communications Equipment &#151; 0.4%</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></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">Nokia OYJ&#151;ADR</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 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">&nbsp;</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">877,870</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">7,031,739</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>Consumer Finance &#151; 1.7%</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></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">Ally Financial, 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">&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">1,101,275</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">22,884,495</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">Ally Financial, Inc. (a)</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>&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">198,832</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="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">4,131,729</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">27,016,224</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Consumer Services &#151; 0.2%</B></DIV>

</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">HMH Holdings/EduMedia (a)</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 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">&nbsp;</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">206,188</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">4,078,399</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>Diversified Financial Services &#151; 0.1%</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></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">Concrete Investments II S.C.A</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>&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">4,997</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>
</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">Kcad Holdings I Ltd. (a)</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>&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">1,563,279,160</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="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">1,563,279</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">1,563,279</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>Diversified Telecommunication Services &#151; 0.4%</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></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">Broadview Networks Holdings, Inc. (a)</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>&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">192,400</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">346,319</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">Level 3 Communications, Inc. (a)</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>&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">115,920</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="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">6,243,451</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">6,589,770</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>Electrical Equipment &#151; 0.0%</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></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">Medis Technologies Ltd. (a)</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 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">&nbsp;</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">365,353</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">4</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>Energy Equipment &amp; Services &#151; 0.3%</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></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">Laricina Energy Ltd. (a)(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>&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">211,764</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">2,095,449</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">Osum Oil Sands Corp. (a)(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>&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">400,000</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="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">2,681,385</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">4,776,834</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>Hotels, Restaurants &amp; Leisure &#151; 0.7%</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></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">Amaya, Inc. (a)</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 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">&nbsp;</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">377,280</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">10,861,777</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>Insurance &#151; 0.9%</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></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">American International Group, Inc.</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 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">&nbsp;</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">256,865</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">14,212,340</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>Media &#151; 0.3%</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></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">Cengage Thomson Learning (a)</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 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">&nbsp;</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">211,142</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">4,552,855</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>Metals &amp; Mining &#151; 0.2%</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></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">African Minerals Ltd. (a)</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>&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">225,302</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</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">Constellium NV, Class A (a)</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>&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">122,646</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">2,319,236</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">Peninsula Energy Ltd. (a)</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>&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">102,691,927</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="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">1,227,594</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">3,546,834</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>Oil, Gas &amp; Consumable Fuels &#151; 1.1%</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></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">African Petroleum Corp. Ltd. (a)</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>&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">331,833</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">20,743</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">General Maritime 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">&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">953,381</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">14,720,203</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">Seven Generations Energy Ltd. (Acquired 3/25/14, cost $2,419, 572) (a)(b)(c)</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>&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">216,000</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="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">2,987,473</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">17,728,419</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>Paper &amp; Forest Products &#151; 0.5%</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></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">Ainsworth Lumber Co. Ltd. (a)</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>&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">2,147,503</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">5,784,177</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">Ainsworth Lumber Co. Ltd. (a)(d)</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>&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">614,940</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">1,657,746</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">Western Forest Products, 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">&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">543,106</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="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">926,535</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">8,368,458</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.0%</B></DIV></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">SunPower Corp. (a)</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 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">&nbsp;</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">1,025</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">33,476</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Trading Companies &amp; Distributors &#151; 0.3%</B></DIV>

</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">HD Supply Holdings, Inc. (a)</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 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">&nbsp;</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">139,579</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">4,118,278</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Common Stocks &#151; 9.7%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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;156,959,179</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>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Asset-Backed
Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</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">Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3.75%, 7/15/26 (d)(e)</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">USD</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">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">461,250</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: 6px; TEXT-INDENT:
-6px">ALM Loan Funding, Series 2013-7RA (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 3.71%, 4/24/24</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,840</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,755,669</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: 30px; TEXT-INDENT:
-10px">Class D, 5.26%, 4/24/24</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,360</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,190,198</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">ALM XII, Ltd., Series 2015-12A, Class C1, 3.95%, 4/16/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,500</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">1,426,350</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">ALM XIV Ltd., Series 2014-14A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 3.71%, 7/28/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">711,856</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: 30px; TEXT-INDENT:
-10px">Class D, 5.11%, 7/28/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">219,321</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">AMMC CLO 15 Ltd., Series 2014-15A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C1, 3.70%, 12/09/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">990,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class D, 4.44%, 12/09/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">960,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Apidos CLO XVIII, Series 2014-18A, Class C, 3.91%, 7/22/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">550</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">527,327</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">Ares CLO Ltd. (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">2.55%, 11/15/25</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">999,950</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: 30px; TEXT-INDENT:
-10px">Series 2014-32A, Class C, 4.45%, 11/15/25</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,250</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">1,241,675</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">Atlas Senior Loan Fund V, Ltd., Series 2014-1A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 3.25%, 7/16/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">242,443</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: 30px; TEXT-INDENT:
-10px">Class D, 3.70%, 7/16/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">234,345</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">Avalon IV Capital, Ltd., Series 2012-1AR, Class CR, 3.11%, 4/17/23 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">841,271</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">Benefit Street Partners CLO, Ltd., Series 2014-IVA, Class C, 3.76%, 7/20/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">469,915</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">BlueMountain CLO 2014-1, Ltd., Series 2014-1A, Class C, 3.00%, 4/30/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">966,884</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Carlyle Global Market Strategies CLO 2012-2, Ltd., Series 2012-2AR, Class ER, 6.36%, 7/20/23 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">580</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">575,711</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">Carlyle Global Market Strategies CLO 2014-5 Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">996,559</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">Cedar Funding Ltd., Series 2014-3A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 3.06%, 5/20/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">765,181</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: 30px; TEXT-INDENT:
-10px">Class D, 3.81%, 5/20/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">504,368</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">CIFC Funding 2014-II, Ltd., Series 2014-2A, Class A3L, 3.08%, 5/24/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">487,367</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">CIFC Funding 2014-V, Ltd., Series 2014-5A, Class C, 3.59%, 1/17/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">984,100</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">CIFC Funding Ltd., Series 2014-3A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C1, 3.06%, 7/22/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">484,717</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: 30px; TEXT-INDENT:
-10px">Class D, 3.66%, 7/22/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">235,676</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">Dryden Senior Loan Fund, Series 2014-36A, Class D, 4.02%, 11/09/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">950,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.26%, 10/15/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">493,555</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: 6px; TEXT-INDENT:
-6px">Highbridge Loan Management 4-2014 Ltd., Series 4A-2014, Class B, 3.26%, 7/28/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">820</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">794,741</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">ING IM CLO 2012-4, Ltd., Series 2012-4A, Class C, 4.75%, 10/15/23 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">1,002,667</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">Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.75%, 7/15/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">237,967</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: 6px; TEXT-INDENT:
-6px">LCM X LP, Series 10AR, Class ER, 5.75%, 4/15/22 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">984,812</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">Madison Park Funding, Ltd. (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2012-8AR, Class CR, 3.06%, 4/22/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">493,942</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: 30px; TEXT-INDENT:
-10px">Series 2012-8AR, Class DR, 4.11%, 4/22/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">246,823</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: 30px; TEXT-INDENT:
-10px">Series 2014-14A,Class D, 3.86%, 7/20/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">481,156</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">Neuberger Berman CLO XVII, Ltd., Series 2014-17A, Class D, 3.80%, 8/04/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">470,907</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: 6px; TEXT-INDENT:
-6px">Neuberger Berman CLO XVIII Ltd., Series 2014-18A:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class B, 3.38%, 11/14/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,250</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">1,221,933</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: 30px; TEXT-INDENT:
-10px">Class C, 3.98%, 11/14/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,500</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">1,430,655</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">Oaktree EIF II Series A2, Ltd., Series 2014-A2, Class C, 3.50%, 11/15/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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;1,975,245</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">26</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt 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 STYLE="text-align: left; 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;">
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Asset-Backed
Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</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">Octagon Investment Partners XII, Ltd., Series 2012-1AR, Class ER, 5.76%, 5/05/23 (d)(e)</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">USD</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">1,200</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,186,672</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: 6px; TEXT-INDENT:
-6px">Octagon Investment Partners XX Ltd., Series 2014-1A, Class D, 3.91%, 8/12/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">241,250</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: 6px; TEXT-INDENT:
-6px">Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 3.54%, 11/22/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">996,758</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">Octagon Investment Partners XXII, Ltd., Series 2014-1A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class B2, 2.59%, 11/22/25</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">1,000,022</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: 30px; TEXT-INDENT:
-10px">Class D1, 4.19%, 11/22/25</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">976,603</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">OZLM IX Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,250</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">1,192,755</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">Palmer Square CLO, Ltd., Series 2014-1A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class B, 2.81%, 10/17/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,100</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">1,072,811</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: 30px; TEXT-INDENT:
-10px">Class C, 4.11%, 10/17/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">837,419</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">Sound Point CLO Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,500</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">1,373,250</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: 6px; TEXT-INDENT:
-6px">Steele Creek CLO 2014-1 Ltd., Series 2014-1A, Class B, 2.48%, 8/21/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">488,115</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: 6px; TEXT-INDENT:
-6px">TICP CLO II Ltd., Series 2014-2A, Class A1A, 1.71%, 7/20/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">991,933</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: 6px; TEXT-INDENT:
-6px">TICP CLO III Ltd., Series 2014-3A, Class C, 3.48%, 1/20/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">1,006,752</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">Venture CDO Ltd., Series 2014-17A, Class C, 3.10%, 7/15/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">483,422</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">Venture XIII CLO Ltd., Series 2013-13A, Class D, 3.81%, 6/10/25 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">961,232</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">Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">981,400</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">Voya CLO, Ltd., Series 2014-4A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 4.23%, 10/14/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,750</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">1,727,302</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: 30px; TEXT-INDENT:
-10px">Class D, 5.73%, 10/14/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">919,661</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">Washington Mill CLO, Ltd., Series 2014-1A (d)(e):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 3.26%, 4/20/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">501,021</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: 30px; TEXT-INDENT:
-10px">Class D, 3.71%, 4/20/26</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">660</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">617,219</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">WhiteHorse IX, Ltd., Series 2014-9A, Class C, 2.96%, 7/17/26 (d)(e)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">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">236,034</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">WhiteHorse, Ltd., Series 2014-1A, Class C, 3.01%, 5/01/26 (d)(e)</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">&nbsp;</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">680</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">641,432</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%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Asset-Backed Securities &#151; 3.0%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><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% 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;</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;49,489,599</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="100%" COLSPAN=16><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" COLSPAN=16 STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Corporate Bonds</B></DIV></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>Aerospace &amp; Defense &#151; 1.4%</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></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">Bombardier, Inc., 7.50%, 3/15/25 (d)(f)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,450,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,160</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">1,216,550</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">Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,140</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,276,800</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">Oshkosh Corp., 5.38%, 3/01/25 (d)(f)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">566</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">578,735</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">TransDigm, Inc.:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.50%, 10/15/20</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,490</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,465,100</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: 30px; TEXT-INDENT:
-10px">6.00%, 7/15/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,680</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,801,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">6.50%, 7/15/24</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,048</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 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">6,184,080</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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="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">&nbsp;</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">&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">22,972,265</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: 6px; TEXT-INDENT:
-6px"><B>Air Freight &amp; Logistics &#151; 0.3%</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></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">National Air Cargo Group, Inc.:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">12.38%, 8/16/15</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,062</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,062,366</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: 30px; TEXT-INDENT:
-10px">12.38%, 9/02/15</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,044</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,043,758</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">XPO Logistics, Inc., 7.88%, 9/01/19 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,163</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">3,362,665</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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="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">&nbsp;</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">&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">5,468,789</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>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</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>Airlines &#151; 2.8%</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></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">American Airlines Group, Inc. (d):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.50%, 10/01/19</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">USD</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">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">784,688</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: 30px; TEXT-INDENT:
-10px">4.63%, 3/01/20</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,451,813</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: 6px; TEXT-INDENT:
-6px">American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,420</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,484,200</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">Continental Airlines Pass-Through Trust:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 1997-4, Class B, 6.90%, 7/02/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">222</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">230,312</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: 30px; TEXT-INDENT:
-10px">Series 2012-3, Class C, 6.13%, 4/29/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,145</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,453,700</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Delta Air Lines Pass-Through Trust, Class 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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2009-1, 9.75%, 6/17/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">933,604</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: 30px; TEXT-INDENT:
-10px">Series 2010-1, 6.38%, 7/02/17 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,647</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,746,262</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">US
Airways Pass-Through Trust:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2012-1, Class C, 9.13%, 10/01/15</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,306</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">1,345,597</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: 30px; TEXT-INDENT:
-10px">Series 2012-2, Class C, 5.45%, 6/03/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,720</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,905,900</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: 30px; TEXT-INDENT:
-10px">Series 2013-1, Class B, 5.38%, 5/15/23</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,198</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,405,924</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">Virgin Australia Trust, Series 2013-1 (d):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Class C, 7.13%, 10/23/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,463</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">7,593,937</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: 30px; TEXT-INDENT:
-10px">Class D, 8.50%, 10/23/16</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,784</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">6,953,815</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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="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">&nbsp;</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">&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">45,289,752</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: 6px; TEXT-INDENT:
-6px"><B>Auto Components &#151; 3.4%</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></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">Affinia Group, Inc., 7.75%, 5/01/21</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,109</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">3,233,360</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">Autodis SA, 6.50%, 2/01/19</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">EUR</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">265</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">311,696</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: 6px; TEXT-INDENT:
-6px">CNH Industrial Finance Europe SA, 2.75%, 3/18/19</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,422</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,652,529</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">Dana Holding Corp., 6.75%, 2/15/21</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">USD</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">200</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">212,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">General Motors Financial Co., Inc.:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">3.15%, 1/15/20</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,235</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,280,065</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: 30px; TEXT-INDENT:
-10px">4.00%, 1/15/25</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,160</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">5,287,725</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">Icahn Enterprises LP/Icahn Enterprises Finance Corp.:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">3.50%, 3/15/17</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">352</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">356,400</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: 30px; TEXT-INDENT:
-10px">4.88%, 3/15/19</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,770</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,993,776</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: 30px; TEXT-INDENT:
-10px">6.00%, 8/01/20</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,973</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,181,110</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: 30px; TEXT-INDENT:
-10px">5.88%, 2/01/22</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,797</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,933,354</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: 6px; TEXT-INDENT:
-6px">IDQ Holdings, Inc., 11.50%, 4/01/17 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,155</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,268,138</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">Rhino Bondco SpA, 7.25%, 11/15/20</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">EUR</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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">582,057</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">Schaeffler Holding Finance BV (g):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">969,097</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: 30px; TEXT-INDENT:
-10px">(6.25% Cash or 0.00% PIK), 6.25%, 11/15/19 (d)</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">USD</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">2,860</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,031,600</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: 30px; TEXT-INDENT:
-10px">(6.75% Cash or 0.00% PIK), 6.75%, 11/15/22 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,023</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,595,185</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: 30px; TEXT-INDENT:
-10px">(6.88% Cash or 7.63% PIK), 6.88%, 8/15/18 (d)</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,400</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,514,000</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(6.88% Cash), 6.88%, 8/15/18</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">EUR</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">1,660</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,955,148</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">Servus Luxembourg Holding SCA, 7.75%, 6/15/18</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">719</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">843,753</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">Titan International, Inc., 6.88%, 10/01/20</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">USD</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">1,255</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,142,050</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: 6px; TEXT-INDENT:
-6px">UCI International, Inc., 8.63%, 2/15/19</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,080</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">6,531,300</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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="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">&nbsp;</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">&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">&nbsp;55,874,343</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: 6px; TEXT-INDENT:
-6px"><B>Automobiles &#151; 0.8%</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></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">General Motors Co.:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">4.88%, 10/02/23</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">940</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,024,004</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: 30px; TEXT-INDENT:
-10px">6.25%, 10/02/43</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,705</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,597,257</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: 30px; TEXT-INDENT:
-10px">5.20%, 4/01/45</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,015</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,445,131</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">Jaguar Land Rover Automotive PLC, 5.00%, 2/15/22</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">GBP</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">1,555</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">2,628,758</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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="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">&nbsp;</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">&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">12,695,150</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: 6px; TEXT-INDENT:
-6px"><B>Banks &#151; 1.4%</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></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">Banco Bilbao Vizcaya Argentaria SA (e)(h):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">6.75%</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">EUR</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">400</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">455,001</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: 30px; TEXT-INDENT:
-10px">7.00%</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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</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">1,155,419</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 3 -->
<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 STYLE="text-align: left; 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;">
<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Banks (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Banco Espirito Santo SA:</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></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">4.75%, 1/15/18</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">EUR</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">1,900</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">2,216,559</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">4.00%, 1/21/19</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>&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">100</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">115,111</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">Bankia SA, 4.00%, 5/22/24 (e)</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>&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">400</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">450,418</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">CIT Group, Inc.:</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></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">5.25%, 3/15/18</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">USD</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">4,320</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">4,561,920</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">6.63%, 4/01/18 (d)</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>&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">1,400</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">1,527,750</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">5.50%, 2/15/19 (d)</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>&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">6,919</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">7,394,335</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.00%, 8/01/23</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>&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">560</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">590,800</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">6.00%, 4/01/36</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>&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">2,800</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">2,912,000</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">HSH Nordbank AG, 0.85%, 2/14/17 (e)</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">EUR</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">665</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="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">642,775</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;22,022,088</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>Beverages &#151; 0.1%</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></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">Hydra Dutch Holdings 2BV, 5.57%, 4/15/19 (e)</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 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">&nbsp;</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">1,053</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">1,089,983</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>Building Products &#151; 1.6%</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></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">American Builders &amp; Contractors Supply Co., Inc., 5.63%, 4/15/21 (d)</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">USD</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">1,315</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">1,341,300</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">BMBG Bond Finance SCA, 5.07%, 10/15/20 (e)</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">EUR</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">1,020</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">1,148,466</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">Builders FirstSource, Inc., 7.63%, 6/01/21 (d)</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">USD</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">1,503</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">1,521,788</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">Building Materials Corp. of America, 6.75%, 5/01/21 (d)</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>&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">2,490</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">2,676,750</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">Cemex SAB de CV:</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></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">5.88%, 3/25/19 (d)</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>&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">1,335</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: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,382,059</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">4.38%, 3/05/23</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">EUR</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">455</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">509,168</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">5.70%, 1/11/25 (d)</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">USD</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">2,215</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">2,171,807</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">CPG Merger Sub LLC, 8.00%, 10/01/21 (d)</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>&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">3,590</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">3,625,900</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">Momentive Performance Materials, Inc., 3.88%, 10/24/21</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>&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">3,738</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">3,317,475</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">Ply Gem Industries, Inc., 6.50%, 2/01/22</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>&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">3,550</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">3,443,500</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">USG Corp.:</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></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">9.75%, 1/15/18</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>&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">3,935</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">4,530,247</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">5.50%, 3/01/25 (d)</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>&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">1,234</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="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">1,261,765</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">26,930,225</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>Capital Markets &#151; 1.9%</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></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">American Capital Ltd., 6.50%, 9/15/18 (d)</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>&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">3,840</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">4,008,000</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">Blackstone CQP Holdco LP, 9.30%, 3/18/19</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>&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">18,193</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">18,010,589</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">E*Trade Financial Corp.:</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></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">0.00%, 8/31/19 (d)(i)(j)</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>&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">1,206</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">3,040,664</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">5.38%, 11/15/22</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>&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">2,857</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">3,014,135</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">Series A, 0.00%, 8/31/19 (i)(j)</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>&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">373</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">940,437</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: 6px; TEXT-INDENT:
-6px">UBS Group AG (e)(h):</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></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">5.75%</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">EUR</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">800</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">933,288</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">7.00%</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">USD</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">725</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="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">756,710</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">30,703,823</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>Chemicals &#151; 1.4%</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></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">Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV:</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></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">5.75%, 2/01/21</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">EUR</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">500</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">593,097</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">7.38%, 5/01/21 (d)</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">USD</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">1,760</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">1,905,200</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">Axiall Corp., 4.88%, 5/15/23</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>&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">629</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">640,008</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Basell Finance Co. BV, 8.10%, 3/15/27 (d)</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>&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">2,115</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">2,911,653</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">Celanese US Holdings LLC:</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></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">5.88%, 6/15/21</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>&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">1,848</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">2,009,700</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">4.63%, 11/15/22</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>&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">1,565</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">1,580,650</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">Huntsman International LLC:</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></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">8.63%, 3/15/21</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>&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">945</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">1,017,453</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">5.13%, 4/15/21</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">EUR</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">1,779</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">2,110,238</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">INEOS Finance PLC, 8.38%, 2/15/19 (d)</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">USD</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">100</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">106,650</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">INEOS Group Holdings SA:</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></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">6.13%, 8/15/18 (d)</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>&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">1,015</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">1,030,225</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">6.50%, 8/15/18</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">EUR</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">378</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">439,392</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">5.75%, 2/15/19</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>&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">400</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">464,742</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">LSB Industries, Inc., 7.75%, 8/01/19</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">USD</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">728</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">758,940</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">Montichem Holdco SA, 5.25%, 6/15/21</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">EUR</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">311</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">345,449</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">Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18</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">USD</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">510</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">475,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Chemicals (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">NOVA Chemicals Corp., 5.00%, 5/01/25 (c)</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">USD</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">660</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">697,125</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">PSPC Escrow Corp.:</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></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">6.50%, 2/01/22 (d)</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>&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">5,224</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">5,504,790</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">6.00%, 2/01/23</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">EUR</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">394</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="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">464,053</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;23,054,940</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>Commercial Services &amp; Supplies &#151; 2.8%</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></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">AA
Bond Co., Ltd., 9.50%, 7/31/43</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">GBP</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">996</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">1,688,752</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">Abengoa Greenfield SA, 6.50%, 10/01/19 (d)</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">USD</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">3,326</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">3,168,015</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">ADS Waste Holdings, Inc., 8.25%, 10/01/20</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>&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">1,546</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">1,607,840</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">ARAMARK Corp., 5.75%, 3/15/20</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>&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">3,123</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">3,263,535</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">Aviation Capital Group Corp., 6.75%, 4/06/21 (d)</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>&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">3,002</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">3,418,155</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">Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.50%, 4/01/23</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>&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">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: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">754,200</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">Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (g)</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">EUR</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">423</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">486,983</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">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (d)</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">USD</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">1,558</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">1,480,100</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">Covanta Holding Corp.:</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></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">6.38%, 10/01/22</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>&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">2,300</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">2,478,250</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">5.88%, 3/01/24</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>&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">1,180</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">1,227,200</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">Jurassic Holdings III, Inc., 6.88%, 2/15/21 (d)</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>&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">2,738</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">2,368,370</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">Mobile Mini, Inc., 7.88%, 12/01/20</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>&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">2,040</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">2,157,300</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">Mustang Merger Corp., 8.50%, 8/15/21 (d)</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>&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">2,688</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">2,741,760</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">Silk Bidco, 7.50%, 2/01/22</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">EUR</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">667</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">774,397</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">United Rentals North America, Inc.:</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></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">7.38%, 5/15/20</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">USD</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">1,890</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">2,050,650</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">8.25%, 2/01/21</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>&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">2,168</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">2,352,280</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">7.63%, 4/15/22</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>&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">5,555</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">6,170,549</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">6.13%, 6/15/23</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>&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">1,055</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">1,131,487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.75%, 11/15/24</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>&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">3,826</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">4,036,430</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">Verisure Holding AB:</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></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">8.75%, 9/01/18</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">EUR</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">790</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">942,627</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">8.75%, 12/01/18</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>&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">673</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="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">802,149</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">45,101,029</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>Communications Equipment &#151; 2.6%</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></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">Alcatel-Lucent USA, Inc.:</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></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">4.63%, 7/01/17 (d)</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">USD</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">1,735</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">1,791,387</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">6.75%, 11/15/20 (d)</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>&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">3,755</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">4,017,850</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">6.45%, 3/15/29</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>&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">8,343</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">8,353,429</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">Avaya, Inc. (d):</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></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">7.00%, 4/01/19</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>&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">3,620</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">3,656,200</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">10.50%, 3/01/21</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>&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">1,355</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">1,182,238</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">CommScope, Inc. (d):</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></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">5.00%, 6/15/21</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>&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">1,475</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">1,493,437</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">5.50%, 6/15/24</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>&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">1,413</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">1,430,663</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">Nokia OYJ:</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></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">5.00%, 10/26/17 (j)</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">EUR</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">800</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">2,648,299</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">6.63%, 5/15/39</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">USD</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">1,961</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">2,274,760</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">Zayo Group LLC/Zayo Capital, Inc.:</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></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">8.13%, 1/01/20</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>&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">5,153</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">5,462,180</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">10.13%, 7/01/20</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>&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">6,167</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">6,968,710</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">6.00%, 4/01/23 (c)</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>&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">2,600</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="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">2,658,500</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">41,937,653</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>Construction &amp; Engineering &#151; 1.0%</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></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">AECOM Technology Corp. (d):</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></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">5.75%, 10/15/22</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>&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">1,016</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">1,064,260</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">5.88%, 10/15/24</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>&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">2,662</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">2,828,375</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">Aldesa Financial Services SA, 7.25%, 4/01/21</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">EUR</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">960</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">913,145</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">Astaldi SpA, 7.13%, 12/01/20</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>&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">2,273</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">2,734,371</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">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (d)</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">USD</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">1,952</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">2,025,200</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">H&amp;E Equipment Services, Inc., 7.00%, 9/01/22</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>&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">2,462</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">2,529,705</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">Novafives SAS:</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></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">4.07%, 6/30/20 (e)</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">EUR</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">455</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">500,156</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">4.50%, 6/30/21</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>&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">320</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">356,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 4 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Construction &amp; Engineering (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (d)</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">USD</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">2,852</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">&nbsp;2,880,520</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">Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23</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>&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">862</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="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">817,822</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">16,649,881</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>Construction Materials &#151; 2.6%</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></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">American Tire Distributors, Inc., 10.25%, 3/01/22 (d)</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>&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">4,805</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">5,009,213</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">HD
Supply, Inc.:</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></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">11.00%, 4/15/20</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>&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">9,123</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">10,445,835</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">7.50%, 7/15/20</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>&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">14,575</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">15,595,250</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">5.25%, 12/15/21 (d)</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>&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">9,862</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">10,244,152</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">Kerneos Tech Group SAS:</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></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">4.83%, 3/01/21 (e)</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">EUR</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">194</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">217,344</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">5.75%, 3/01/21</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>&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">262</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">309,727</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">Officine MaccaFerri SpA, 5.75%, 6/01/21</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>&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">780</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">855,402</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">Rexel SA, 6.13%, 12/15/19 (d)</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">USD</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">203</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="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">213,150</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">42,890,073</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>Consumer Finance &#151; 1.9%</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></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">Ally Financial, Inc.:</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></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">5.13%, 9/30/24</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>&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">1,711</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">1,807,244</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">8.00%, 11/01/31</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>&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">20,336</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">26,265,285</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: 6px; TEXT-INDENT:
-6px">Ford Motor Credit Co. LLC, 12.00%, 5/15/15</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>&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">1,120</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">1,145,086</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">IVS F. SpA, 7.13%, 4/01/20</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">EUR</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">1,029</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="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">1,211,956</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">30,429,571</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>Containers &amp; Packaging &#151; 1.4%</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></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">Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:</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></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">6.25%, 1/31/19 (d)</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">USD</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">1,504</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">1,507,760</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">6.00%, 6/30/21 (d)</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>&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">1,825</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">1,777,094</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">4.25%, 1/15/22</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">EUR</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">1,855</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">2,106,976</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">Ball Corp., 4.00%, 11/15/23</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">USD</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">564</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">554,130</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">Beverage Packaging Holdings Luxembourg II SA (d):</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></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">5.63%, 12/15/16</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>&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">2,113</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">2,128,847</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">6.00%, 6/15/17</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>&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">2,137</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">2,158,370</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">Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21</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>&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">93</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">98,580</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">Crown European Holdings SA, 4.00%, 7/15/22</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">EUR</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">1,325</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">1,616,188</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">OI
European Group BV, 4.88%, 3/31/21</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>&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">822</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">1,037,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Pactiv LLC:</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></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">7.95%, 12/15/25</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">USD</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">4,267</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">4,331,005</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">8.38%, 4/15/27</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>&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">736</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">758,080</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">Sealed Air Corp. (d):</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></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">8.38%, 9/15/21</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>&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">150</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">169,687</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: 30px; TEXT-INDENT:
-10px">5.13%, 12/01/24</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>&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">1,395</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">1,457,775</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">SGD Group SAS, 5.63%, 5/15/19</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">EUR</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">405</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">461,147</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">Tekni-Plex, Inc., 9.75%, 6/01/19 (d)</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">USD</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">1,907</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="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">2,069,095</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">22,232,059</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>Distributors &#151; 0.3%</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></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">VWR Funding, Inc., 7.25%, 9/15/17</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 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">&nbsp;</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">4,254</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">4,456,065</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>Diversified Consumer Services &#151; 0.2%</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></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">Laureate Education, Inc., 10.00%, 9/01/19 (d)</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 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">&nbsp;</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">3,065</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">2,927,075</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>Diversified Financial Services &#151; 2.4%</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></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">AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, 10/01/21 (d)</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>&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">1,600</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">1,738,000</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">Aircastle, Ltd.:</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></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">7.63%, 4/15/20</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>&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">128</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">149,120</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">5.13%, 3/15/21</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>&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">586</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">621,160</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">DFC Finance Corp., 10.50%, 6/15/20 (d)</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>&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">2,745</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">2,264,625</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">Gala Group Finance PLC, 8.88%, 9/01/18</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">GBP</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">2,437</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">3,950,807</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">HSH Nordbank AG, 0.89%, 2/14/17 (e)</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">EUR</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">313</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">302,189</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">International Lease Finance Corp., 5.88%, 8/15/22</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">USD</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">1,805</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">2,062,393</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">Jarden Corp., 1.88%, 9/15/18 (j)</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>&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">100</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">171,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Diversified Financial Services (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Jefferies Finance LLC/JFIN Co-Issuer Corp. (d):</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></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">7.38%, 4/01/20</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">USD</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">3,410</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">&nbsp;3,375,900</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">6.88%, 4/15/22</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>&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">2,987</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">2,882,455</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">Lehman Brother Holding Escrow, 1.00%, 9/22/18 (a)(k)</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>&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">430</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">63,425</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">Lehman Brothers Holdings, Inc.(a)(k):</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></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">4.75%, 1/16/2015</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">EUR</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">1,890</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">391,276</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">1.00%, 2/05/2015</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>&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">3,950</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">779,069</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">5.38%, 10/17/2014</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>&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">350</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">72,458</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">1.00%, 12/31/49</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">USD</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">1,535</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">226,412</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">Leucadia National Corp., 8.13%, 9/15/15</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>&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">4,503</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">4,657,926</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">MSCI, Inc., 5.25%, 11/15/24 (d)</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>&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">1,209</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">1,260,383</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">Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23</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">EUR</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">463</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">544,026</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">Reynolds Group Issuer, Inc.:</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></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">7.13%, 4/15/19</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">USD</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">297</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">308,323</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">9.00%, 4/15/19</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>&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">3,405</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">3,566,737</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">7.88%, 8/15/19</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>&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">728</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">772,408</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">9.88%, 8/15/19</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>&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">3,015</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">3,229,819</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">5.75%, 10/15/20</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>&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">4,884</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="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">5,073,255</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">38,463,979</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Telecommunication Services &#151; 3.4%</B></DIV>

</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">CenturyLink, Inc.:</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></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">6.45%, 6/15/21</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>&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">1,125</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">1,234,688</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">Series V, 5.63%, 4/01/20</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>&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">5,420</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">5,799,400</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">Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (d)</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>&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">2,350</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">2,347,062</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">Frontier Communications Corp.:</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></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">8.50%, 4/15/20</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>&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">2,275</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">2,570,750</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">6.25%, 9/15/21</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>&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">2,750</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">2,825,625</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">7.13%, 1/15/23</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>&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">1,615</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">1,685,656</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">7.63%, 4/15/24</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>&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">735</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">786,450</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">6.88%, 1/15/25</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>&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">1,425</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">1,428,562</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">Level 3 Communications, Inc., 8.88%, 6/01/19</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>&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">1,780</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">1,884,575</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">Level 3 Financing, Inc.:</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></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">8.13%, 7/01/19</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>&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">5,885</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">6,230,744</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">7.00%, 6/01/20</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>&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">2,395</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">2,575,128</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">8.63%, 7/15/20</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>&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">6,175</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">6,730,750</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">5.63%, 2/01/23 (d)</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>&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">2,917</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">3,004,510</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">Series TIT, 6.00%, 7/24/17 (j)</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">EUR</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">900</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">1,187,122</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">Telecom Italia Capital SA:</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></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">6.38%, 11/15/33</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">USD</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">745</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">795,288</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">6.00%, 9/30/34</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>&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">740</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">765,900</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">Telecom Italia Finance SA, 7.75%, 1/24/33</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">EUR</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">380</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">644,281</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">Telecom Italia SpA:</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></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">6.13%, 11/15/16 (j)</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>&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">500</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">768,732</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">6.38%, 6/24/19</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">GBP</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">900</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">1,540,050</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">4.88%, 9/25/20</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">EUR</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">870</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">1,118,814</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">4.50%, 1/25/21</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>&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">1,350</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">1,712,537</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">3.25%, 1/16/23</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>&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">500</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">589,845</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">5.88%, 5/19/23</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">GBP</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">1,900</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">3,235,741</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">Telenet Finance V Luxembourg SCA:</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></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">6.25%, 8/15/22</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>&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">1,362</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">1,667,721</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">6.75%, 8/15/24</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>&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">1,982</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="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">2,500,747</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">55,630,678</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>Electric Utilities &#151; 0.4%</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></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">Homer City Generation LP (g):</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></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">(8.14% Cash), 8.14%, 10/01/19</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">USD</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">806</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">816,131</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">(8.73% Cash), 8.73%, 10/01/26</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>&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">2,128</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">2,170,538</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">Mirant Mid Atlantic Pass-Through Trust:</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></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">Series B, 9.13%, 6/30/17</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>&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">989</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">1,028,338</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">Series C, 10.06%, 12/30/28</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>&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">2,237</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">2,449,493</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">Viridian Group FundCo II Ltd., 7.50%, 3/01/20</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">EUR</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">730</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="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">833,147</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,297,647</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>
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</TR>
</TABLE>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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_03-63071-hyt PAGE POSITION: 5 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Electrical Equipment &#151; 0.4%</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></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">Belden, Inc., 5.50%, 4/15/23</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">EUR</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">1,602</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">1,924,752</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">International Wire Group Holdings, Inc., 8.50%, 10/15/17 (d)</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">USD</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">1,421</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">1,484,945</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">Techem Energy Metering Service GmbH &amp; Co., 7.88%, 10/01/20</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">EUR</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">210</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">260,381</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">Trionista Holdco GmbH, 5.00%, 4/30/20</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>&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">1,405</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">1,646,382</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">Trionista TopCo GmbH, 6.88%, 4/30/21</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>&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">418</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="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">502,377</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,818,837</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Electronic Equipment, Instruments &amp; Components &#151; 0.1%</B></DIV></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">CDW LLC/CDW Finance Corp., 8.50%, 4/01/19</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">USD</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">50</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">52,410</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">Jabil Circuit, Inc., 8.25%, 3/15/18</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>&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">1,310</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="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">1,513,050</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">1,565,460</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>Energy Equipment &amp; Services &#151; 1.4%</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></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">Atwood Oceanics, Inc., 6.50%, 2/01/20</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>&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">780</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">748,800</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">Calfrac Holdings LP, 7.50%, 12/01/20 (d)</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>&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">3,978</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">3,570,255</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">Gates Global LLC/Gates Global Co., 5.75%, 7/15/22</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">EUR</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">110</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">112,618</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">Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21</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">USD</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">283</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">277,340</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">MEG Energy Corp. (d):</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></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">6.50%, 3/15/21</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>&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">3,791</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">3,667,792</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">6.38%, 1/30/23</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>&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">575</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">546,250</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">7.00%, 3/31/24</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>&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">7,269</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">7,078,189</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">Peabody Energy Corp., 7.88%, 11/01/26</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>&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">2,795</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">2,236,000</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">Pioneer Energy Services Corp., 6.13%, 3/15/22</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>&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">163</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">125,102</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">Precision Drilling Corp.:</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></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">6.63%, 11/15/20</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>&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">425</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">412,250</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">5.25%, 11/15/24 (d)</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>&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">4,147</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="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">3,524,950</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;22,299,546</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>Food &amp; Staples Retailing &#151; 1.3%</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></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">Bakkavor Finance 2 PLC:</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></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">8.25%, 2/15/18</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">GBP</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">1,427</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">2,297,058</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">8.75%, 6/15/20</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>&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">795</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">1,334,755</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">Brakes Capital, 7.13%, 12/15/18</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>&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">830</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">1,322,401</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">Family Tree Escrow LLC (d):</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></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">5.25%, 3/01/20</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">USD</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">817</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">853,765</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">5.75%, 3/01/23</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>&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">8,549</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">8,997,822</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">R&amp;R Ice Cream PLC:</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></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">4.75%, 5/15/20</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">EUR</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">745</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">857,661</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">5.50%, 5/15/20</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">GBP</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">200</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">314,810</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">(9.25% Cash or 10.00% PIK), 9.25%, 5/15/18 (g)</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">EUR</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">823</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">934,299</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">Rite Aid Corp.:</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></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">9.25%, 3/15/20</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">USD</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">2,080</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">2,303,600</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">6.75%, 6/15/21</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>&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">2,360</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="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">2,507,500</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">21,723,671</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>Food Products &#151; 0.5%</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></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">Anna Merger Sub, Inc., 7.75%, 10/01/22 (d)</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>&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">2,155</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">2,219,650</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">Boparan Finance PLC:</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></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">4.38%, 7/15/21</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">EUR</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">249</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">258,163</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">5.50%, 7/15/21</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">GBP</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">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">729,331</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Findus Bondco SA, 9.13%, 7/01/18</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">EUR</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">830</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">989,184</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">Smithfield Foods, Inc.:</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></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">5.88%, 8/01/21 (d)</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">USD</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">891</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">938,891</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">6.63%, 8/15/22</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>&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">1,516</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">1,648,650</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">The WhiteWave Foods Co., 5.38%, 10/01/22</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>&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">950</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="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">1,020,063</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,803,932</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>Health Care Equipment &amp; Supplies &#151; 0.7%</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></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">3AB Optique Development SAS, 5.63%, 4/15/19</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">EUR</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">900</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">976,931</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">Biomet, Inc., 6.50%, 10/01/20</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">USD</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">2,801</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">2,965,559</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">DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18</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>&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">2,106</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">2,195,505</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">Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (d)</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>&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">1,580</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">1,749,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Health Care Equipment &amp; Supplies (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">IDH Finance PLC:</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></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">6.00%, 12/01/18 (d)</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">GBP</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">200</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">314,945</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">6.00%, 12/01/18</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>&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">614</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">966,883</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">Teleflex, Inc., 6.88%, 6/01/19</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">USD</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">1,635</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="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">1,704,487</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;10,874,160</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>Health Care Providers &amp; Services &#151; 6.1%</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></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">Acadia Healthcare Co., Inc.:</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></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">5.13%, 7/01/22</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>&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">1,145</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">1,150,725</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">5.63%, 2/15/23 (d)</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>&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">468</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">483,210</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">Alere, Inc.:</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></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">7.25%, 7/01/18</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>&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">2,449</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">2,629,614</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">8.63%, 10/01/18</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>&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">2,834</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">2,954,445</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">Amsurg Corp., 5.63%, 7/15/22</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>&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">5,428</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">5,753,680</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">Care UK Health &amp; Social Care PLC, 5.56%, 7/15/19 (e)</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">GBP</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">1,253</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">1,818,378</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">Centene Corp., 4.75%, 5/15/22</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">USD</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">1,227</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">1,266,878</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">CHS/Community Health Systems, Inc.:</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></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">5.13%, 8/15/18</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>&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">2,125</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">2,199,375</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">6.88%, 2/01/22</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>&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">3,948</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">4,221,892</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">ConvaTec Healthcare E SA, 7.38%, 12/15/17 (d)</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">EUR</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">1,907</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">2,211,387</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">DaVita HealthCare Partners, Inc., 5.13%, 7/15/24</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">USD</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">5,166</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">5,359,725</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">HCA Holdings, Inc., 7.75%, 5/15/21</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>&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">6,486</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">6,940,020</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">HCA, Inc.:</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></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">3.75%, 3/15/19</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>&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">2,911</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">2,972,859</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">6.50%, 2/15/20</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>&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">6,125</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">6,967,187</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">5.88%, 3/15/22</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>&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">3,565</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">4,007,060</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">4.75%, 5/01/23</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>&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">1,487</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">1,568,636</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">5.88%, 5/01/23</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>&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">4,096</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">4,485,120</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">5.00%, 3/15/24</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>&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">1,955</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">2,111,400</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">5.38%, 2/01/25</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>&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">5,524</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">5,855,440</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">HealthSouth Corp., 5.75%, 11/01/24</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>&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">2,442</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">2,551,890</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">Hologic, Inc., 6.25%, 8/01/20</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>&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">6,719</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">7,038,152</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">Kindred Healthcare, Inc., 6.38%, 4/15/22</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>&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">931</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">931,000</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">MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (d)</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>&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">1,280</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">1,360,000</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">Omnicare, Inc.:</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></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">4.75%, 12/01/22</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>&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">793</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">827,694</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.00%, 12/01/24</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>&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">631</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">664,128</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">Tenet Healthcare Corp.:</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></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">6.25%, 11/01/18</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>&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">1,308</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">1,427,355</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">5.00%, 3/01/19 (d)</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>&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">2,863</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">2,877,315</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">4.75%, 6/01/20</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>&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">1,805</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">1,859,150</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">6.00%, 10/01/20</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>&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">3,835</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">4,170,563</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">4.50%, 4/01/21</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>&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">74</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">74,370</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">4.38%, 10/01/21</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>&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">4,005</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">4,010,006</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">8.13%, 4/01/22</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>&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">5,078</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">5,750,835</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">Voyage Care Bondco PLC, 6.50%, 8/01/18</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">GBP</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">786</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="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">1,249,871</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">99,749,360</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>Health Care Technology &#151; 0.1%</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></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">IMS Health, Inc., 6.00%, 11/01/20 (d)</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 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">USD</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">795</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">830,775</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>Hotels, Restaurants &amp; Leisure &#151; 3.4%</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></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">Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (d)</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>&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">4,330</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">4,362,475</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">Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (d)(g)</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>&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">654</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">662,175</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">CDW LLC/CDW Finance Corp.:</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></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">6.00%, 8/15/22</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>&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">3,095</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">3,303,912</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">5.00%, 9/01/23</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>&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">925</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">929,625</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">5.50%, 12/01/24</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>&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">4,652</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">4,838,080</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">Cedar Funding Ltd., 5.38%, 6/01/24 (d)</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>&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">1,070</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">1,091,400</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">Cirsa Funding Luxembourg SA, 8.75%, 5/15/18</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">EUR</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">2,695</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">3,106,315</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">Cleopatra Finance, Ltd.:</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></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">4.13%, 2/15/20</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>&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">700</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">803,898</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">6.25%, 2/15/22 (d)</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">USD</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">400</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">400,500</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">4.75%, 2/15/23</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">EUR</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">825</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">959,222</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">6.50%, 2/15/25 (d)</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">USD</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">200</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">199,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 6 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Hotels, Restaurants &amp; Leisure (concluded)</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></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">Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (j)</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">GBP</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">400</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">534,172</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">Enterprise Inns PLC, 6.50%, 12/06/18</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>&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">1,598</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">2,628,667</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">Gategroup Finance Luxembourg SA, 6.75%, 3/01/19</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">EUR</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">2,164</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">2,567,648</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">Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (d)</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">USD</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">1,220</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">1,302,350</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">Intralot Capital Luxembourg SA, 6.00%, 5/15/21</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">EUR</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">613</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">644,819</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">Intralot Finance Luxembourg SA, 9.75%, 8/15/18</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>&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">2,140</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">2,556,654</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">MGM Resorts International, 6.00%, 3/15/23</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">USD</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">3,560</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">3,702,400</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">New Red Finance, Inc., 6.00%, 4/01/22 (d)</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>&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">3,735</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">3,884,400</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">Regal Entertainment Group, 5.75%, 2/01/25</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>&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">489</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">489,000</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">Six Flags Entertainment Corp., 5.25%, 1/15/21 (d)</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>&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">3,247</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">3,323,954</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">Snai SpA, 7.63%, 6/15/18</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">EUR</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">1,025</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">1,184,305</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">Station Casinos LLC, 7.50%, 3/01/21</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">USD</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">5,095</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">5,477,125</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">Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/2014 (a)(k)</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>&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">1,850</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>
</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">The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21</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">GBP</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">2,076</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">3,300,422</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">Vougeot Bidco PLC, 7.88%, 7/15/20</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>&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">920</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">1,530,419</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">Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22</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">USD</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">689</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="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">723,881</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;54,507,068</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>Household Durables &#151; 2.9%</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></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">Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (d)</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>&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">1,262</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">1,126,335</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Beazer Homes USA, Inc.:</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></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">6.63%, 4/15/18</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>&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">215</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">223,600</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">5.75%, 6/15/19</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>&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">3,638</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">3,510,670</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">7.50%, 9/15/21</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>&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">2,710</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">2,649,025</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">Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (d)</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>&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">1,604</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">1,660,140</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: 6px; TEXT-INDENT: -6px">DR
Horton, Inc., 4.00%, 2/15/20</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>&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">2,408</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">2,432,080</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">K.
Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (d)</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>&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">4,360</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">4,545,300</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">Lennar Corp., 4.50%, 11/15/19</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>&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">2,482</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">2,537,845</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">Project Homestake Merger Co., 8.88%, 3/01/23 (d)(f)</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>&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">3,574</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">3,654,415</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">PulteGroup, Inc., 6.38%, 5/15/33</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>&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">2,050</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">2,111,500</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">The Ryland Group, Inc., 6.63%, 5/01/20</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>&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">1,900</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">2,023,500</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">Standard Pacific Corp.:</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></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">10.75%, 9/15/16</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>&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">3,420</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">3,830,400</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">8.38%, 1/15/21</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>&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">4,270</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">4,931,850</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">Taylor Morrison Communities, Inc./Monarch Communities, Inc. (d):</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></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">7.75%, 4/15/20</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>&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">1,650</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">1,749,000</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: 30px; TEXT-INDENT:
-10px">5.25%, 4/15/21</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>&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">744</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">729,120</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">Tri Pointe Holdings, Inc. (d):</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></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">4.38%, 6/15/19</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>&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">2,270</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">2,244,463</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">5.88%, 6/15/24</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>&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">1,540</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">1,541,925</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">William Lyon Homes, Inc., 8.50%, 11/15/20</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>&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">4,579</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="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">4,945,320</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">46,446,488</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>Household Products &#151; 0.3%</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></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">Spectrum Brands, Inc.:</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></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">6.75%, 3/15/20</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>&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">535</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">563,088</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">6.38%, 11/15/20</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>&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">2,125</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">2,289,687</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: 30px; TEXT-INDENT:
-10px">6.63%, 11/15/22</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>&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">1,385</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">1,516,575</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">6.13%, 12/15/24 (d)</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>&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">963</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="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">1,035,225</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,404,575</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Independent Power and Renewable Electricity Producers &#151; 2.0%</B></DIV></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">Baytex Energy Corp., 5.13%, 6/01/21 (d)</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>&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">944</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">899,160</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">Calpine Corp.:</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></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">6.00%, 1/15/22 (d)</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>&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">676</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">737,178</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">5.38%, 1/15/23</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>&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">4,144</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">4,206,160</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">5.88%, 1/15/24 (d)</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>&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">1,999</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">2,168,915</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">5.50%, 2/01/24</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>&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">3,923</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">3,967,134</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Independent Power and Renewable Electricity Producers (concluded)</B></DIV></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">Calpine Corp. (concluded):</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></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">5.75%, 1/15/25</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">USD</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">4,814</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">&nbsp;4,910,280</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">Dynegy Finance I, Inc./Dynegy Finance II, Inc. (d):</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></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">6.75%, 11/01/19</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>&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">5,900</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">6,172,875</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">7.38%, 11/01/22</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>&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">1,520</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">1,609,300</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">MPM Escrow LLC, 8.88%, 10/15/20 (a)(k)</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>&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">3,738</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">&#151;</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">NRG Energy, Inc.:</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></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">7.88%, 5/15/21</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>&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">1,190</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">1,293,530</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">6.25%, 5/01/24</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>&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">1,800</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">1,836,000</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">NRG REMA LLC:</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></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">Series B, 9.24%, 7/02/17</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>&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">117</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">123,925</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">Series C, 9.68%, 7/02/26</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>&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">1,400</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">1,519,000</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">QEP Resources, Inc.:</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></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">5.38%, 10/01/22</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>&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">1,843</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">1,819,963</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">5.25%, 5/01/23</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>&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">800</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="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">783,000</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">32,046,420</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>Insurance &#151; 1.2%</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></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">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (d)</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>&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">6,232</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">6,418,960</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">CNO Financial Group, Inc., 6.38%, 10/01/20 (d)</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>&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">1,244</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">1,318,640</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">Genworth Holdings, Inc., 4.80%, 2/15/24</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>&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">1,120</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">983,861</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">Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (d)</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>&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">3,920</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">4,027,800</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">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (d)</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>&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">3,650</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">3,914,625</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">Pension Insurance Corp. PLC, 6.50%, 7/03/24</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">GBP</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">775</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">1,245,301</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">TMF Group Holding BV, 9.88%, 12/01/19</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">EUR</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">1,140</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="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">1,345,881</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">19,255,068</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>Internet Software &amp; Services &#151; 0.6%</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></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">Cerved Group SpA:</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></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">6.38%, 1/15/20</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>&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">601</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">719,628</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">8.00%, 1/15/21</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>&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">400</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">490,627</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">Equinix, Inc.:</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></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">5.38%, 1/01/22</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">USD</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">1,110</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">1,157,175</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">5.75%, 1/01/25</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>&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">1,172</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">1,230,600</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">Interactive Data Corp., 5.88%, 4/15/19 (d)</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>&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">4,101</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">4,106,126</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">Netflix, Inc. (d):</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></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">5.50%, 2/15/22</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>&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">1,577</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">1,627,149</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">5.88%, 2/15/25</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>&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">960</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="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">992,400</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">10,323,705</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>IT Services &#151; 2.8%</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></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">Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (d)</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>&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">6,584</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">6,847,360</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">Epicor Software Corp., 8.63%, 5/01/19</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>&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">3,077</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">3,230,850</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">First Data Corp.:</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></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">7.38%, 6/15/19 (d)</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>&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">5,373</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">5,641,650</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">6.75%, 11/01/20 (d)</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>&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">6,560</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">7,035,600</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">8.25%, 1/15/21 (d)</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>&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">1,394</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">1,495,065</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">10.63%, 6/15/21</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>&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">2,111</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">2,427,650</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">11.75%, 8/15/21</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>&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">5,966</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">6,950,390</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(8.75% Cash or 10.00% PIK), 8.75%, 1/15/22 (d)(g)</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>&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">365</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">394,200</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">Open Text Corp., 5.63%, 1/15/23 (d)</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>&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">5,431</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">5,593,930</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">SunGard Data Systems, Inc., 6.63%, 11/01/19</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>&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">2,227</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">2,316,080</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">WEX, Inc., 4.75%, 2/01/23 (d)</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>&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">2,728</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="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">2,721,180</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">44,653,955</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>Machinery &#151; 0.1%</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></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">Selecta Group BV, 6.50%, 6/15/20</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">EUR</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">1,060</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">1,181,567</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">SPX Corp., 6.88%, 9/01/17</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">USD</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">980</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="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">1,068,200</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">2,249,767</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>Media &#151; 13.6%</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></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">Adria Bidco BV, 7.88%, 11/15/20</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">EUR</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">600</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">725,145</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">Altice Financing SA:</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></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">6.50%, 1/15/22 (d)</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">USD</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">2,410</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">2,494,350</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">5.25%, 2/15/23</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">EUR</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">585</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">699,651</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">6.63%, 2/15/23 (d)</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">USD</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">2,985</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">3,108,131</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">Altice Finco SA, 7.63%, 2/15/25 (d)</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>&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">828</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">859,472</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 7 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Media (continued)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Altice SA:</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></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">7.25%, 5/15/22</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">EUR</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">2,597</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">&nbsp;3,083,857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">7.75%, 5/15/22 (d)</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">USD</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">3,350</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">3,458,875</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">6.25%, 2/15/25</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">EUR</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">1,955</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">2,231,717</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">7.63%, 2/15/25 (d)</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">USD</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">2,576</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">2,659,720</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: 6px; TEXT-INDENT:
-6px">AMC Networks, Inc.:</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></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">7.75%, 7/15/21</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>&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">480</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">526,800</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">4.75%, 12/15/22</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>&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">1,613</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">1,621,065</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">Cablevision Systems Corp., 5.88%, 9/15/22</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>&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">3,070</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">3,177,450</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">CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23</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>&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">1,375</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">1,385,313</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">CCOH Safari LLC:</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></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">5.50%, 12/01/22</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>&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">5,024</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">5,193,560</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">5.75%, 12/01/24</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>&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">10,316</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">10,677,060</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">Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(k)</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>&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">3,439</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>
</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">Clear Channel Worldwide Holdings, Inc.:</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></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">7.63%, 3/15/20</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>&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">4,069</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">4,302,967</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">6.50%, 11/15/22</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>&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">11,724</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">12,347,467</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">Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/01/40 (d)(j)</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>&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">4,132</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">4,503,880</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">Columbus International, Inc., 7.38%, 3/30/21 (d)</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>&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">3,455</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">3,627,750</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">Consolidated Communications, Inc., 6.50%, 10/01/22 (d)</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>&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">1,250</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">1,250,000</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">DISH DBS Corp.:</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></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">4.25%, 4/01/18</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>&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">3,209</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">3,225,045</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.13%, 5/01/20</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>&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">4,652</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">4,692,705</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">5.00%, 3/15/23</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>&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">370</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">356,125</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">5.88%, 11/15/24</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>&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">6,239</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">6,207,805</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">DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (d)</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>&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">901</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">869,465</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">Gannett Co., Inc.:</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></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">5.13%, 10/15/19</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>&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">857</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">897,708</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">5.13%, 7/15/20</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>&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">506</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">527,505</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">4.88%, 9/15/21 (d)</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>&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">1,827</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">1,870,391</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">6.38%, 10/15/23</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>&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">1,314</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">1,425,690</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">5.50%, 9/15/24 (d)</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>&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">1,308</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">1,360,320</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">Gray Television, Inc., 7.50%, 10/01/20</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>&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">1,743</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">1,812,720</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: 6px; TEXT-INDENT:
-6px">Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (d)</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>&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">4,510</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">4,938,450</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">iHeartCommunications, Inc.:</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></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">9.00%, 12/15/19</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>&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">3,789</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">3,741,637</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">9.00%, 3/01/21</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>&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">1,127</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">1,087,555</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">9.00%, 9/15/22</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>&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">3,845</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">3,700,812</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Inmarsat Finance PLC, 4.88%, 5/15/22 (d)</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>&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">2,805</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">2,854,649</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">Intelsat Jackson Holdings SA:</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></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">6.63%, 12/15/22</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>&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">1,040</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">1,016,600</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">5.50%, 8/01/23</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>&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">5,400</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">5,109,750</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">Intelsat Luxembourg SA:</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></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">6.75%, 6/01/18</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>&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">3,520</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">3,458,400</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">7.75%, 6/01/21</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>&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">1,730</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">1,602,413</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">LIN Television Corp., 6.38%, 1/15/21</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>&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">1,570</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">1,621,025</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">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (d)</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>&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">987</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">1,058,558</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">Media General Financing Sub, Inc., 5.88%, 11/15/22 (d)</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>&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">1,292</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">1,321,070</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">Midcontinent Communications &amp; Midcontinent Finance Corp., 6.25%, 8/01/21 (d)</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>&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">3,901</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">3,959,515</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">NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (d)</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>&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">2,039</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">2,107,816</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">Nexstar Broadcasting, Inc., 6.88%, 11/15/20</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>&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">1,023</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">1,084,380</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">Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (d)</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>&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">3,707</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">3,790,407</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">Numericable Group SA:</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></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">5.38%, 5/15/22</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">EUR</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">890</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">1,053,969</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">6.00%, 5/15/22 (d)</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">USD</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">7,205</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">7,331,087</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">5.63%, 5/15/24</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">EUR</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">1,785</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">2,117,355</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">6.25%, 5/15/24 (d)</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">USD</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">4,285</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">4,398,552</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Media (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Outfront Media Capital LLC/Outfront Media Capital Corp.:</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></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">5.25%, 2/15/22</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">USD</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">650</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">680,875</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">5.63%, 2/15/24</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>&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">568</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">605,630</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">Play Finance 2 SA, 5.25%, 2/01/19</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">EUR</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">1,070</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">1,248,272</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">Radio One, Inc., 9.25%, 2/15/20 (d)</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">USD</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">2,686</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">2,565,130</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">RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (d)</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>&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">2,020</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">2,141,200</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">Sinclair Television Group, Inc., 5.63%, 8/01/24 (d)</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>&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">894</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">905,175</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">Sirius XM Radio, Inc. (d):</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></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">4.25%, 5/15/20</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>&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">1,519</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">1,511,405</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">5.75%, 8/01/21</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>&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">1,811</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">1,901,550</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">Sterling Entertainment Corp., 9.75%, 12/15/19</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>&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">4,810</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">4,906,200</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">Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH:</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></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">5.50%, 1/15/23 (d)</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>&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">2,550</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">2,690,250</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">5.63%, 4/15/23</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">EUR</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">208</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">256,330</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">4.00%, 1/15/25</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>&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">1,611</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">1,916,672</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">Unitymedia KabelBW GmbH, 9.50%, 3/15/21</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>&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">2,061</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">2,571,594</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Univision Communications, Inc. (d):</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></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">8.50%, 5/15/21</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">USD</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">1,597</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">1,714,779</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">5.13%, 5/15/23</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>&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">10,242</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">10,600,470</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">5.13%, 2/15/25</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>&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">7,844</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">7,942,050</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">UPCB Finance II Ltd., 6.38%, 7/01/20 (d)</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">EUR</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">4,437</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">5,201,074</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">Virgin Media Finance PLC, 5.75%, 1/15/25 (d)</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">USD</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">2,405</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">2,552,306</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">Virgin Media Secured Finance PLC:</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></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">6.00%, 4/15/21</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">GBP</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">5,502</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">9,047,074</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">6.25%, 3/28/29</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>&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">829</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">1,407,838</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">Wave Holdco LLC/Wave Holdco Corp., (8.25% Cash or 9.00% PIK), 8.25%, 7/15/19 (d)(g)</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">USD</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">2,710</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">2,777,750</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">WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (d)</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>&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">2,248</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">2,427,840</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">Ziggo Bond Finance BV:</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></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">4.63%, 1/15/25</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">EUR</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">902</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">1,062,376</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">5.88%, 1/15/25 (d)</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">USD</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">3,773</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="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">3,947,501</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;221,115,050</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>Metals &amp; Mining &#151; 4.3%</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></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">Alcoa, Inc.:</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></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">6.15%, 8/15/20</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>&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">1,330</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">1,510,821</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">5.13%, 10/01/24</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>&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">8,691</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">9,451,723</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">5.90%, 2/01/27</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>&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">215</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">241,413</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">6.75%, 1/15/28</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>&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">477</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">553,405</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">5.95%, 2/01/37</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>&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">264</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">284,169</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">Arch Coal, Inc.:</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></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">7.00%, 6/15/19</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>&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">1,614</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">484,200</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">7.25%, 10/01/20</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>&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">678</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">235,605</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">7.25%, 6/15/21</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>&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">500</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">145,000</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">Constellium NV:</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></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">4.63%, 5/15/21</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">EUR</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">1,270</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">1,364,346</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">8.00%, 1/15/23 (d)</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">USD</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">6,525</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">6,826,781</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">5.75%, 5/15/24 (d)</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>&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">3,385</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">3,207,288</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">Eco-Bat Finance PLC, 7.75%, 2/15/17</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">EUR</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">1,954</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">2,099,159</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">Global Brass &amp; Copper, Inc., 9.50%, 6/01/19</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">USD</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">4,660</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">5,032,800</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">Kaiser Aluminum Corp., 8.25%, 6/01/20</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>&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">1,240</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">1,343,850</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">Novelis, Inc., 8.75%, 12/15/20</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>&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">12,968</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">14,070,280</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">Ovako AB, 6.50%, 6/01/19</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">EUR</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">606</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">695,098</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">Peabody Energy Corp., 6.50%, 9/15/20</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">USD</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">1,194</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">1,010,423</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">Perstorp Holding AB, 8.75%, 5/15/17 (d)</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>&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">990</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">1,024,650</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">Ryerson, Inc./Joseph T Ryerson &amp; Son, Inc., 9.00%, 10/15/17</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>&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">1,740</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">1,779,150</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">Steel Dynamics, Inc.:</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></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">5.13%, 10/01/21 (d)</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>&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">3,085</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">3,162,125</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">6.38%, 8/15/22</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>&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">1,345</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">1,442,513</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">5.25%, 4/15/23</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>&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">1,168</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">1,203,040</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">ThyssenKrupp AG:</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></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">1.75%, 11/25/20</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">EUR</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">550</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">613,816</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">2.50%, 2/25/25</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>&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">750</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">836,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 8 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Metals &amp; Mining (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (d)</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">USD</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">10,804</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="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">&nbsp;11,708,835</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">70,326,588</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>Multi-Utilities &#151; 0.1%</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></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">CE Energy AS, 7.00%, 2/01/21</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 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">EUR</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">745</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">847,240</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>Multiline Retail &#151; 0.7%</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></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">CST Brands, Inc., 5.00%, 5/01/23</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>&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">653</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">674,223</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">Debenhams PLC, 5.25%, 7/15/21</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">GBP</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">914</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">1,393,647</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">Dufry Finance SCA, 5.50%, 10/15/20 (d)</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">USD</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">1,927</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">2,009,738</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">Hema Bondco I BV, 6.25%, 6/15/19</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">EUR</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">2,105</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">1,961,037</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">The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (d)</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">USD</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">4,727</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="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">4,969,259</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">11,007,904</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>Oil, Gas &amp; Consumable Fuels &#151; 11.6%</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></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">Access Midstream Partners LP/ACMP Finance Corp.:</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></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">5.88%, 4/15/21</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>&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">1,325</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">1,386,888</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">6.13%, 7/15/22</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>&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">1,520</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">1,628,300</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">4.88%, 3/15/24</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>&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">396</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">407,880</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">Antero Resources Corp., 5.13%, 12/01/22 (d)</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>&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">254</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">250,190</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">Antero Resources Finance Corp.:</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></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">6.00%, 12/01/20</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>&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">241</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">246,423</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">5.38%, 11/01/21</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>&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">2,008</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">2,023,060</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">Berry Petroleum Co., 6.38%, 9/15/22</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>&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">1,755</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">1,395,225</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">Bonanza Creek Energy, Inc.:</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></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">6.75%, 4/15/21</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>&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">2,344</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">2,297,120</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">5.75%, 2/01/23</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>&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">3,254</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">3,026,220</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">California Resources Corp., 6.00%, 11/15/24 (d)</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>&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">8,052</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">7,176,345</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">Carrizo Oil &amp; Gas, Inc.:</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></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">8.63%, 10/15/18</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>&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">1,828</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">1,901,120</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">7.50%, 9/15/20</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>&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">671</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">685,259</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">Chaparral Energy, Inc., 7.63%, 11/15/22</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>&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">1,220</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">902,800</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">Chesapeake Energy Corp.:</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></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">6.63%, 8/15/20</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>&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">1,670</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">1,816,125</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">6.88%, 11/15/20</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>&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">771</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">847,136</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">6.13%, 2/15/21</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>&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">524</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">556,750</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">4.88%, 4/15/22</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>&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">3,240</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">3,199,500</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">Cimarex Energy Co., 4.38%, 6/01/24</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>&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">1,349</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">1,328,765</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">Concho Resources, Inc.:</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></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">5.50%, 10/01/22</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>&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">2,016</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">2,086,560</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">5.50%, 4/01/23</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>&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">3,085</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">3,192,975</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">CONSOL Energy, Inc., 5.88%, 4/15/22</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>&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">11,028</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">10,586,880</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">CrownRock LP/CrownRock Finance, Inc. (d):</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></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">7.13%, 4/15/21</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>&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">3,710</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">3,710,000</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: 30px; TEXT-INDENT:
-10px">7.75%, 2/15/23</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>&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">1,064</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">1,098,580</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">Denbury Resources, Inc.:</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></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">5.50%, 5/01/22</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>&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">2,530</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">2,365,550</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">4.63%, 7/15/23</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>&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">196</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">175,665</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">Diamondback Energy, Inc., 7.63%, 10/01/21</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>&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">2,877</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">3,020,850</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">El
Paso LLC:</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></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">7.80%, 8/01/31</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>&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">2,547</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">3,149,982</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">7.75%, 1/15/32</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>&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">5,669</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">7,074,441</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">Energy Transfer Equity LP, 5.88%, 1/15/24</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>&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">7,967</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">8,524,690</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">EP
Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19</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>&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">730</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">748,250</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">Halcon Resources Corp.:</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></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">9.75%, 7/15/20</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>&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">2,146</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">1,652,420</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">8.88%, 5/15/21</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>&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">926</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">703,760</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">9.25%, 2/15/22</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>&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">1,257</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">939,608</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">Hilcorp Energy I LP/Hilcorp Finance Co. (d):</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></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">7.63%, 4/15/21</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>&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">1,472</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">1,534,560</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">5.00%, 12/01/24</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>&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">2,448</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">2,307,240</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">Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.75%, 4/01/22 (d)</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>&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">1,400</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">1,337,000</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">Kinder Morgan, Inc., 5.63%, 11/15/23 (d)</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>&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">1,146</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">1,286,069</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">Laredo Petroleum, Inc.:</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></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">9.50%, 2/15/19</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>&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">329</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">342,160</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">7.38%, 5/01/22</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>&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">1,808</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">1,862,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Oil, Gas &amp; Consumable Fuels (continued)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21</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">USD</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">1,390</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">&nbsp;1,118,950</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">Linn Energy LLC/Linn Energy Finance Corp.:</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></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">6.25%, 11/01/19</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>&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">1,628</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">1,387,870</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">8.63%, 4/15/20</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>&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">4,840</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">4,392,300</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">7.75%, 2/01/21</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>&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">365</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">318,463</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">MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:</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></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">6.25%, 6/15/22</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>&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">674</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">714,440</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">4.50%, 7/15/23</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>&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">1,720</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: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,730,320</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">Memorial Production Partners LP/Memorial Production Finance Corp.:</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></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">7.63%, 5/01/21</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>&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">605</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">579,288</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">6.88%, 8/01/22 (d)</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>&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">1,242</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">1,151,955</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">Memorial Resource Development Corp., 5.88%, 7/01/22 (d)</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>&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">6,071</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">5,828,160</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">Newfield Exploration Co., 6.88%, 2/01/20</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>&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">4,325</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">4,443,937</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">NGPL PipeCo LLC (d):</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></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">7.12%, 12/15/17</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>&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">3,130</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">3,114,350</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">9.63%, 6/01/19</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>&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">891</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">893,228</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">Oasis Petroleum, Inc., 6.50%, 11/01/21</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>&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">1,625</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">1,558,984</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">Offshore Group Investment Ltd., 7.50%, 11/01/19</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>&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">1,370</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">876,800</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">Pacific Drilling SA, 5.38%, 6/01/20 (d)</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>&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">826</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">657,186</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">Parsley Energy LLC/Parsley Finance Corp., 7.50%, 2/15/22 (d)</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>&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">4,536</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">4,649,400</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">PDC Energy, Inc., 7.75%, 10/15/22</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>&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">995</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">1,034,800</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">Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 6.50%, 5/15/21</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>&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">1,193</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">1,282,475</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">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)</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>&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">3,816</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">3,482,100</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">Range Resources Corp.:</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></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">5.75%, 6/01/21</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>&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">568</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">597,820</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">5.00%, 8/15/22</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>&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">530</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">541,925</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">5.00%, 3/15/23</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>&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">1,193</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">1,219,842</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">Regency Energy Partners LP/Regency Energy Finance Corp.:</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></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">5.75%, 9/01/20</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>&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">628</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">682,950</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">6.50%, 7/15/21</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>&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">685</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">732,950</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">5.88%, 3/01/22</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>&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">247</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">269,848</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">5.50%, 4/15/23</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>&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">2,059</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">2,151,655</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">4.50%, 11/01/23</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>&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">2,835</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">2,898,787</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">Rockies Express Pipeline LLC, 6.00%, 1/15/19 (d)</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>&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">2,524</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">2,675,440</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">Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22</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>&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">1,747</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">1,742,632</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">Rosetta Resources, Inc., 5.88%, 6/01/24</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>&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">1,007</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">951,615</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">RSP Permian, Inc., 6.63%, 10/01/22 (d)</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>&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">1,756</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">1,766,975</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">Sabine Pass Liquefaction LLC:</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></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">5.63%, 4/15/23</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>&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">3,087</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">3,156,457</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">5.75%, 5/15/24</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>&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">5,085</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">5,199,412</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">5.63%, 3/01/25 (d)</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>&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">3,748</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">3,766,740</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">Sanchez Energy Corp.:</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></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">7.75%, 6/15/21</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>&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">547</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">545,633</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">6.13%, 1/15/23 (d)</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>&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">4,282</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">3,928,735</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">Series WI, 6.13%, 1/15/23</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>&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">875</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">802,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">SandRidge Energy, Inc.:</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></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">8.75%, 1/15/20</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>&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">141</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">107,865</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">7.50%, 2/15/23</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>&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">1,378</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">985,270</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">Seven Generations Energy Ltd., 8.25%, 5/15/20 (d)</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>&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">6,541</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">6,786,287</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">Seventy Seven Energy, Inc., 6.50%, 7/15/22</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>&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">1,133</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">589,160</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">Seventy Seven Operating LLC, 6.63%, 11/15/19</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>&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">1,112</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">892,380</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">SM
Energy Co.:</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></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">6.13%, 11/15/22 (d)</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>&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">3,080</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">3,157,000</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: 30px; TEXT-INDENT:
-10px">6.50%, 1/01/23</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>&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">951</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">979,530</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">Summit Midstream Holdings LLC/Summit Midstream Finance Corp.:</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></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">7.50%, 7/01/21</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>&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">1,566</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">1,648,215</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">5.50%, 8/15/22</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>&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">1,711</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">1,659,670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_03-63071-hyt PAGE POSITION: 8 -->
<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_03-63071-hyt PAGE POSITION: 9 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Oil, Gas &amp; Consumable Fuels (concluded)</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&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">Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22</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">USD</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">3,852</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">&nbsp;4,073,490</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">Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (d)</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>&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">3,154</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">3,343,240</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">Ultra Petroleum Corp., 5.75%, 12/15/18 (d)</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>&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">979</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">949,630</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">Whiting Petroleum Corp.:</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></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">5.00%, 3/15/19</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>&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">1,504</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">1,481,440</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">5.75%, 3/15/21</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>&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">458</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="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">451,130</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">188,726,128</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>Paper &amp; Forest Products &#151; 0.1%</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></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">Clearwater Paper Corp., 4.50%, 2/01/23</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>&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">197</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">196,015</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">Pfleiderer GmbH, 7.88%, 8/01/19</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">EUR</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">530</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">583,311</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">Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (d)</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">USD</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">1,335</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="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">1,348,350</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">2,127,676</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>Pharmaceuticals &#151; 2.3%</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></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">Endo Finance LLC/Endo Finco, Inc. (d):</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></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">7.00%, 12/15/20</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>&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">628</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">664,110</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">7.25%, 1/15/22</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>&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">696</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">747,330</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">6.00%, 2/01/25</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>&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">4,617</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">4,888,249</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">Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (d)</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>&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">4,047</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">4,148,175</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">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (d)</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>&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">3,596</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">3,874,690</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">JLL/Delta Dutch Newco BV, 7.50%, 2/01/22 (d)</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>&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">1,298</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">1,333,695</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">Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)</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>&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">1,690</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">1,787,175</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">Pinnacle Merger Sub, Inc., 9.50%, 10/01/23 (d)</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>&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">453</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">509,625</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">Valeant Pharmaceuticals International, Inc. (d):</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></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">6.75%, 8/15/18</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>&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">3,433</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">3,647,563</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">7.00%, 10/01/20</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>&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">3,210</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">3,370,500</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">6.38%, 10/15/20</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>&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">5,893</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">6,202,382</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">7.50%, 7/15/21</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>&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">1,375</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">1,491,875</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">6.75%, 8/15/21</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>&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">2,241</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">2,353,050</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">5.50%, 3/01/23</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>&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">2,372</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="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">2,395,720</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">37,414,139</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>Professional Services &#151; 0.2%</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></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">Truven Health Analytics, Inc., 10.63%, 6/01/20</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 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">&nbsp;</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">2,840</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">2,918,100</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Real Estate Investment Trusts (REITs) &#151; 0.7%</B></DIV>

</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">Felcor Lodging LP:</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></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">6.75%, 6/01/19</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>&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">5,386</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">5,628,370</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">5.63%, 3/01/23</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>&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">1,422</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">1,469,921</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21</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>&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">1,361</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">1,444,361</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">Host Hotels &amp; Resorts LP, 2.50%, 10/15/29 (d)(j)</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>&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">815</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">1,327,941</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">iStar Financial, Inc.:</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></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">4.00%, 11/01/17</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>&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">685</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">681,575</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">5.00%, 7/01/19</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>&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">480</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="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">480,000</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">11,032,168</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 COLSPAN="15" NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Real Estate Management &amp; Development &#151; 1.7%</B></DIV>

 </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">Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (d)</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>&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">4,515</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">4,819,763</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">The Howard Hughes Corp., 6.88%, 10/01/21 (d)</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>&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">1,369</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">1,439,161</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">Kennedy-Wilson, Inc., 5.88%, 4/01/24</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>&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">1,364</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">1,377,640</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">Punch Taverns Finance PLC, Series M3, 6.06%, 10/15/27 (d)(e)</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">GBP</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">1,202</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">1,744,368</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">Realogy Corp. (d):</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></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">7.63%, 1/15/20</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">USD</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">2,646</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">2,851,065</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">9.00%, 1/15/20</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>&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">1,269</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">1,395,900</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">Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (d)</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>&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">3,458</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">3,518,515</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">Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (d)</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>&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">1,065</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">1,086,300</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">Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19</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>&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">6,320</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">6,651,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Real Estate Management &amp; Development (concluded)</B></DIV></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">Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (d)</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">USD</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">2,305</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="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">2,235,850</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">&nbsp;27,120,362</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>Road &amp; Rail &#151; 0.8%</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></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">EC
Finance PLC, 5.13%, 7/15/21</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">EUR</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">675</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">795,015</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">Florida East Coast Holdings Corp., 6.75%, 5/01/19 (d)</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">USD</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">3,372</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">3,477,375</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">The Hertz Corp.:</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></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">7.50%, 10/15/18</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>&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">3,220</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">3,332,700</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">6.75%, 4/15/19</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>&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">1,615</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">1,669,506</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">5.88%, 10/15/20</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>&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">370</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">382,025</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">7.38%, 1/15/21</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>&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">2,360</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">2,483,900</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">Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (d)</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>&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">1,093</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="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">1,098,465</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">13,238,986</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.4%</B></DIV></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">Micron Technology, Inc., 5.50%, 2/01/25 (d)</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>&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">3,985</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">4,084,625</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">NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (d)</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>&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">2,065</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">2,188,900</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">Sensata Technologies BV, 5.63%, 11/01/24 (d)</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>&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">903</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="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">968,468</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,241,993</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>Software &#151; 1.5%</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></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">Audatex North America, Inc., 6.13%, 11/01/23 (d)</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>&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">1,350</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">1,431,000</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">BMC Software Finance, Inc., 8.13%, 7/15/21 (d)</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>&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">917</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">856,249</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">Igloo Holdings Corp., (8.25% Cash or 9.00% PIK), 8.25%, 12/15/17 (d)(g)</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>&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">881</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">888,709</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">Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (d)(g)</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>&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">4,891</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">4,921,569</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">Infor US, Inc., 9.38%, 4/01/19</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>&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">9,815</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">10,538,856</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">Nuance Communications, Inc., 5.38%, 8/15/20 (d)</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>&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">2,430</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">2,490,750</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">Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (d)</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>&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">2,437</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="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">2,601,497</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">23,728,630</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>Specialty Retail &#151; 1.4%</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></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">Asbury Automotive Group, Inc., 6.00%, 12/15/24</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>&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">1,168</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">1,223,480</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">The Hillman Group, Inc., 6.38%, 7/15/22 (d)</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>&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">1,438</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">1,402,050</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">L
Brands, Inc., 8.50%, 6/15/19</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>&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">3,925</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">4,739,437</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: 6px; TEXT-INDENT:
-6px">Magnolia BC SA, 9.00%, 8/01/20</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">EUR</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">752</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">876,870</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">New Look Bondco I PLC, 8.75%, 5/14/18</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">GBP</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">438</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">710,558</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">Party City Holdings, Inc., 8.88%, 8/01/20</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">USD</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">3,489</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">3,811,733</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">PC
Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19 (d)(g)</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>&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">1,575</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">1,606,500</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">Penske Automotive Group, Inc.:</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></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">5.75%, 10/01/22</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>&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">1,775</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">1,859,313</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">5.38%, 12/01/24</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>&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">1,335</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: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,381,725</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">QVC, Inc., 7.38%, 10/15/20 (d)</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>&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">1,640</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">1,709,700</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">Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22</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>&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">1,599</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">1,702,935</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">THOM Europe SAS, 7.38%, 7/15/19</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">EUR</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">1,190</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">1,384,936</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">TUI AG, 4.50%, 10/01/19</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>&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">204</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">243,741</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">Twin Set-Simona Barbieri SpA, 5.95%, 7/15/19 (e)</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">USD</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">649</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="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">622,771</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">23,275,749</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>Textiles, Apparel &amp; Luxury Goods &#151; 0.5%</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></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">Levi Strauss &amp; Co., 6.88%, 5/01/22</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>&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">2,430</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">2,673,000</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">Polymer Group, Inc., 6.88%, 6/01/19 (d)</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>&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">900</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">864,000</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">PVH Corp., 4.50%, 12/15/22</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>&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">1,401</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">1,425,518</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">Springs Industries, Inc., 6.25%, 6/01/21</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>&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">1,744</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">1,704,760</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">The William Carter Co., 5.25%, 8/15/21</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>&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">788</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="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">825,233</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,492,511</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>Thrifts &amp; Mortgage Finance &#151; 0.1%</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></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">Radian Group, Inc.:</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></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">3.00%, 11/15/17 (j)</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>&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">330</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">483,656</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">2.25%, 3/01/19 (j)</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>&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">712</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">1,088,915</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">5.50%, 6/01/19</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>&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">926</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="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">958,410</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">2,530,981</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_boopfix mode="frill" -->
</TR>
</TABLE>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 10 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Corporate
Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Trading Companies &amp; Distributors &#151; 0.5%</B></DIV>

</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">Ashtead Capital, Inc. (d):</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></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">6.50%, 7/15/22</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">USD</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">4,976</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">5,411,400</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">5.63%, 10/01/24</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>&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">2,095</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">2,199,750</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">Travis Perkins PLC, 4.38%, 9/15/21</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">GBP</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">729</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="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">1,174,850</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">8,786,000</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>Transportation Infrastructure &#151; 0.3%</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></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">Aguila 3 SA, 7.88%, 1/31/18 (c)</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">USD</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">2,496</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">2,527,200</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">JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (d)(g)</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>&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">2,553</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="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">2,361,525</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">4,888,725</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Wireless Telecommunication Services &#151; 5.6%</B></DIV>

</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">Crown Castle International Corp., 5.25%, 1/15/23</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>&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">3,571</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">3,767,405</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">Digicel Group Ltd. (d):</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></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">8.25%, 9/30/20</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>&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">3,495</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">3,535,193</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">7.13%, 4/01/22</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>&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">6,215</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">5,919,788</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">Digicel Ltd., 6.00%, 4/15/21 (d)</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>&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">7,619</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">7,561,857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">The Geo Group, Inc.:</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></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">5.88%, 1/15/22</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>&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">2,220</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">2,342,100</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">5.88%, 10/15/24</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>&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">2,030</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">2,126,425</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">SBA Communications Corp., 4.88%, 7/15/22 (d)</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>&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">3,775</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">3,775,000</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">Sprint Capital Corp., 8.75%, 3/15/32</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>&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">1,330</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">1,404,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Sprint Communications, Inc. (d):</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></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">9.00%, 11/15/18</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>&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">13,529</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">15,727,462</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">7.00%, 3/01/20</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>&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">6,812</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">7,546,402</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">Sprint Corp.:</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></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">7.88%, 9/15/23</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>&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">7,009</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">7,236,792</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">7.13%, 6/15/24</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>&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">3,777</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">3,758,115</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">7.63%, 2/15/25</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>&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">1,620</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">1,636,200</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">T-Mobile USA, Inc.:</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></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">6.63%, 4/28/21</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>&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">1,897</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">2,017,934</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">6.13%, 1/15/22</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>&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">367</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">386,268</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">6.73%, 4/28/22</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>&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">1,227</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">1,306,755</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">6.00%, 3/01/23</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>&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">2,244</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">2,340,514</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">6.50%, 1/15/24</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>&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">2,638</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">2,789,685</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">6.38%, 3/01/25</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>&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">7,145</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">7,466,525</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">Wind Acquisition Finance SA:</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></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">4.00%, 7/15/20</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">EUR</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">4,549</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">5,178,371</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">4.07%, 7/15/20 (e)</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>&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">2,115</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="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">2,360,282</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">90,183,886</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Corporate Bonds &#151; 104.4%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">1,693,672,671</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Floating Rate Loan Interests (e)</B></DIV></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>Aerospace &amp; Defense &#151; 0.2%</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></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">BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21</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 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">USD</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">3,300</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">3,306,864</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>Air Freight &amp; Logistics &#151; 0.2%</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></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">CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21</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>&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">1,149</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">1,061,103</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: 6px; TEXT-INDENT:
-6px">CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21</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>&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">1,202</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">1,110,589</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">CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21</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>&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">207</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">191,481</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">CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21</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>&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">1,658</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="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">1,531,846</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">3,895,019</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>Airlines &#151; 0.8%</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></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">Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18</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>&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">2,343</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">2,341,198</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">Northwest Airlines, Inc.:</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></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">2.18%, 3/10/17</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>&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">4,430</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">4,318,708</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">1.56%, 9/10/18</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>&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">6,495</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="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">6,202,407</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">12,862,313</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>Auto Components &#151; 0.7%</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></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">Gates Global, Inc., Term Loan B, 4.25%, 7/05/21</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 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">&nbsp;</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">11,416</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">11,327,910</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>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating Rate Loan <BR>
Interests
(e)</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Building Products &#151; 0.1%</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</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">Wilsonart LLC, Term Loan B, 4.00%, 10/31/19</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 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">USD</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">2,303</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">&nbsp;2,281,884</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>Capital Markets &#151; 0.2%</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></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">Affinion Group, Inc., 2nd Lien Term Loan, 8.50%, 10/12/18</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>&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">425</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">372,764</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">American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17</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>&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">2,983</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="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">2,970,327</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">3,343,091</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>Chemicals &#151; 0.2%</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></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">Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20</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>&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">1,345</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">1,333,852</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">MacDermid, Inc., Term Loan B2, 4.75%, 6/07/20</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>&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">511</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">513,203</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">OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20</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>&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">1,615</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="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">1,520,119</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">3,367,174</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>Commercial Services &amp; Supplies &#151; 0.3%</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></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">Brand Energy &amp; Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20</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>&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">2,815</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">2,744,688</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">Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19</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>&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">2,620</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="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">2,599,511</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,344,199</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>Communications Equipment &#151; 0.5%</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></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">Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22</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>&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">1,445</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">1,455,837</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">Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19</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>&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">6,945</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="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">6,936,471</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">8,392,308</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>Construction Materials &#151; 0.3%</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></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">HD Supply, Inc., Term Loan B, 4.00%, 6/28/18</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 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">&nbsp;</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">4,802</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">4,788,663</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>Diversified Financial Services &#151; 0.1%</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></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">Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22</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 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">&nbsp;</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">1,915</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">1,926,624</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Telecommunication Services &#151; 0.2%</B></DIV>

</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">Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19</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>&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">1,428</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">1,432,222</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">Level 3 Financing, Inc., 2019 Term Loan, 4.00%, 8/01/19</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>&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">1,785</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="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">1,783,733</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">3,215,955</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>Electric Utilities &#151; 0.4%</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></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">American Energy &#151; Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20</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>&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">1,001</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">850,005</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">American Energy &#151; Utica LLC, 2nd Lien Term Loan, 5.50%, 9/30/18</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>&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">5,936</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="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">5,372,475</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">6,222,480</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>Electrical Equipment &#151; 0.3%</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></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">Texas Competitive Electric Holdings Co. LLC, DIP Term Loan, 3.75%, 5/05/16</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 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">&nbsp;</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">5,613</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">5,637,108</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>Energy Equipment &amp; Services &#151; 0.1%</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></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">Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20</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 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">&nbsp;</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">990</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">986,678</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>Food &amp; Staples Retailing &#151; 0.0%</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></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">Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20</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 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">&nbsp;</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">600</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">605,628</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>Health Care Providers &amp; Services &#151; 0.4%</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></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">CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21</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>&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">3,598</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">3,604,640</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">Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17</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>&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">1,219</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">1,243,070</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">Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20</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>&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">966</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="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">956,473</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,804,183</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>Hotels, Restaurants &amp; Leisure &#151; 3.2%</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></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">Amaya Holdings BV:</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></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">1st Lien Term Loan, 5.00%, 8/01/21</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>&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">527</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">523,149</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">2nd Lien Term Loan, 8.00%, 8/01/22</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>&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">9,778</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">9,720,021</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_03-63071-hyt 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>
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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 STYLE="text-align: left; 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>

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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating Rate Loan <BR>
Interests
(e)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Hotels, Restaurants &amp; Leisure (concluded)</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></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">Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20</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">USD</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">2,261</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">&nbsp;2,259,734</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">Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20</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>&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">6,003</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">5,763,212</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">Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18</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>&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">762</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">702,418</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">Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20</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>&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">8,355</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">8,045,603</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">Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21</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>&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">2,356</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">2,367,403</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20</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>&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">1,023</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">1,022,155</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">La
Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21</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>&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">5,203</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">5,196,785</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">MGM Resorts International, Term Loan B, 3.50%, 12/20/19</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>&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">1,765</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">1,758,266</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">Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20</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>&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">2,197</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">2,194,663</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">Station Casinos LLC, Term Loan B, 4.25%, 3/02/20</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>&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">4,895</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">4,888,410</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">Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21</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>&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">6,963</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="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">7,014,769</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">51,456,588</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Independent Power and Renewable Electricity Producers &#151; 0.3%</B></DIV></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">Calpine Corp., Term Loan B1, 4.00%, 4/01/18</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>&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">221</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">221,454</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">Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16</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>&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">5,103</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="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">5,124,166</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,345,620</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>Industrial Conglomerates &#151; 0.2%</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></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">Sequa Corp., Term Loan B, 5.25%, 6/19/17</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 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">&nbsp;</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">3,975</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">3,872,755</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>Insurance &#151; 0.1%</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></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">Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19</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 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">&nbsp;</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">1,647</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">1,642,862</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>Internet Software &amp; Services &#151; 0.2%</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></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">Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21</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 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">&nbsp;</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">3,632</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">3,640,829</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>IT Services &#151; 0.9%</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></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">First Data Corp.:</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></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">2018 Extended Term Loan, 3.67%, 3/24/18</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>&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">15,081</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">15,054,434</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">2018 Term Loan, 3.67%, 9/24/18</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>&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">200</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="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">199,812</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">15,254,246</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>Machinery &#151; 0.4%</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></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">Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20</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>&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">2,879</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">2,870,446</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">Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19</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>&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">3,375</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="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">3,241,504</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">6,111,950</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>Media &#151; 1.0%</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></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">Cengage Learning Acquisitions, Inc.:</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></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">1st Lien Term Loan, 7.00%, 3/31/20</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>&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">6,191</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">6,189,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">1st Lien Term Loan, 0.00%, 7/03/15 (a)(k)</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>&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">10,469</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</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">Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19</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>&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">4,098</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">3,920,204</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">Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20</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>&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">3,390</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">3,397,607</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">Tribune Co., 2013 Term Loan, 4.00%, 12/27/20</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>&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">225</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">225,105</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">Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20</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>&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">1,790</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="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">1,785,672</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">15,518,402</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>Metals &amp; Mining &#151; 0.1%</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></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">Novelis, Inc., Term Loan, 3.75%, 3/10/17</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 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">&nbsp;</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">1,583</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">1,580,685</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>
</TABLE>

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

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating Rate Loan <BR>
Interests
(e)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Multiline Retail &#151; 0.1%</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></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">BJ&#146;s Wholesale Club, Inc., 2nd Lien Term Loan, 8.50%, 3/26/20</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 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">USD</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">1,065</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">1,055,681</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>Oil, Gas &amp; Consumable Fuels &#151; 0.5%</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></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">Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18</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>&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">1,432</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">1,145,189</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">CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20</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>&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">5,070</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">5,040,442</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">Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</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>&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">1,258</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="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">1,245,456</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,431,087</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>Pharmaceuticals &#151; 0.8%</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></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">Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21</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>&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">4,749</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">4,736,860</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">Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21</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>&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">1,806</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">1,795,512</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">Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19</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>&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">4,613</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">4,582,033</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">Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18</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>&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">1,370</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="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">1,367,088</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">12,481,493</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>Professional Services &#151; 0.3%</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></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">Advantage Sales &amp; Marketing, Inc.:</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></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">2014 1st Lien Term Loan, 4.25%, 7/23/21</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>&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">1,696</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">1,686,847</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">2014 2nd Lien Term Loan, 7.50%, 7/25/22</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>&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">2,495</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">2,486,417</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">Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20</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>&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">640</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="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">632,353</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">4,805,617</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Real Estate Management &amp; Development &#151; 0.0%</B></DIV>

</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">Realogy Corp., Extended Letter of Credit, 4.40%, 10/10/16</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 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">&nbsp;</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">229</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">224,740</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>Road &amp; Rail &#151; 0.4%</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></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">The Hertz Corp.:</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></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">Term Loan B, 3.50%, 3/11/18</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>&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">1,075</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">1,070,636</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">Term Loan B2, 3.50%, 3/11/18</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>&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">4,632</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="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">4,596,232</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,666,868</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.6%</B></DIV></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">Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21</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>&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">5,050</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">5,052,504</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">Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/20</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>&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">5,337</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="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">5,323,490</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">10,375,994</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>Software &#151; 0.5%</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></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">GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20</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>&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">260</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">257,400</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">Infor US, Inc., Term Loan B5, 3.75%, 6/03/20</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>&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">2,706</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">2,680,516</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">Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20</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>&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">3,445</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">3,516,972</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">Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20</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>&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">930</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="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">926,224</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">7,381,112</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>Specialty Retail &#151; 0.2%</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></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">PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22</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 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">&nbsp;</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">2,439</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">2,455,341</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 COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Technology Hardware, Storage &amp; Peripherals &#151; 0.1%</B></DIV></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">Dell, Inc., Term Loan C, 3.75%, 10/29/18</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 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">&nbsp;</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">1,992</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">1,994,153</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>Textiles, Apparel &amp; Luxury Goods &#151; 0.3%</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></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">Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18</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 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">&nbsp;</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">6,102</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">5,156,560</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Floating Rate Loan Interests &#151; 15.2%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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;246,760,664</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>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 12 -->
<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 STYLE="text-align: left; 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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Non-Agency Mortgage-Backed
<BR>
Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Collateralized Mortgage Obligations &#151; 0.2%</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></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">Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (d)(e)</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 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">USD</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">3,829</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">&nbsp;3,899,074</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>
</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>Commercial Mortgage-Backed Securities &#151; 0.1%</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></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">GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class FFX, 3.38%, 12/15/19 (d)</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 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">&nbsp;</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">1,925</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">1,773,913</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 COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Non-Agency Mortgage-Backed Securities &#151; 0.3%</B></DIV></FONT></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;</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">5,672,987</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Other Interests (l)</B></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 STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="7" STYLE="text-align: center; border-bottom: Black 2px solid; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;<DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Beneficial<BR>Interest<BR>(000)<BR></B></DIV></FONT></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;</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>
</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>Auto Components &#151; 0.0%</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></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">Lear Corp. Escrow</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 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">&nbsp;</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">1,250</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">10,938</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>Media &#151; 0.0%</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></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">Adelphia Escrow (a)</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>&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">4,000</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">40</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">Adelphia Recovery Trust (a)</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>&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">5,017</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="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">501</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">541</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Other Interests &#151; 0.0%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">11,479</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Preferred Securities</B></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Capital Trusts</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><B>Par<BR>
(000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)</B>&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;</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>
</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>Banks &#151; 2.7%</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></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">Bank of America Corp. (e)(h):</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></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">Series V, 5.13%</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>&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">5,620</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">5,535,700</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">Series X, 6.25%</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>&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">5,270</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">5,421,512</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">Series Z, 6.50%</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>&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">3,230</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">3,422,789</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">Barclays PLC, 8.00% (e)(h)</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>&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">985</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">1,193,201</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">Citigroup, Inc. (e)(h):</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></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">5.95%</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>&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">2,675</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">2,708,437</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">Series D, 5.35%</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>&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">1,055</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">1,013,781</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">JPMorgan Chase &amp; Co. (e)(h):</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></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">6.75%</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>&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">5,324</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">5,748,216</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">Series Q, 5.15%</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>&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">850</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">831,980</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">Series U, 6.13%</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>&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">4,228</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">4,378,094</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">Series V, 5.00%</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>&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">5,615</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">5,523,756</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">Wells Fargo &amp; Co. (e)(h):</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></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">Series S, 5.90%</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>&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">2,615</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">2,725,301</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">Series U, 5.88%</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>&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">5,215</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="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">5,488,787</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">43,991,554</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>Capital Markets &#151; 0.7%</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></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">The Goldman Sachs Group, Inc., Series L, 5.70% (e)(h)</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>&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">7,888</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">8,144,360</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">Morgan Stanley, Series H, 5.45% (e)(h)</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>&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">3,810</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="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">3,898,583</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">12,042,943</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>Consumer Finance &#151; 0.3%</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></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">American Express Co., Series C, 4.90% (e)(h)</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 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">&nbsp;</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">4,295</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">4,284,263</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Telecommunication Services &#151; 0.1%</B></DIV>

</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">Telefonica Europe BV, 4.20% (e)(h)</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 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">EUR</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">700</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">833,273</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Total Capital Trusts &#151; 3.8%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">61,152,033</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>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Preferred
Stocks</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;<BR>
Shares</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Banks &#151; 0.4%</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></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">RBS Capital Funding Trust, Series F, 6.25%</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>&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">93,975</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">2,344,676</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">RBS Capital Funding Trust VII, 6.08%</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>&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">152,071</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="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">3,741,318</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">6,085,994</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>Capital Markets &#151; 0.0%</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></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">State Street Corp., Series D, 5.90% (e)</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 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">&nbsp;</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">20,889</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">559,199</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>Consumer Finance &#151; 0.1%</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></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">Ally Financial, Inc., Series A, 8.50% (e)</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 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">&nbsp;</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">41,694</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">1,106,559</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>Diversified Financial Services &#151; 0.1%</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></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">Concrete Investments II, 0.00%</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 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">&nbsp;</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">4,997</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">743,722</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Telecommunication Services &#151; 0.1%</B></DIV>

</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">Orange SA, 4.00% (e)</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 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">&nbsp;</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">1,225,000</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">1,492,047</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Hotels, Restaurants &amp; Leisure &#151; 1.6%</B></DIV>

</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">Amaya, Inc., 0.00%</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 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">&nbsp;</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">19,851</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">26,598,212</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>Media &#151; 0.0%</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></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">Emmis Communications Corp., Series A, 6.25% (j)</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>&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">10,300</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">119,480</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">NBCUniversal Enterprise, Inc., 5.25% (d)</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>&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">400</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="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">426,200</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">545,680</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 COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Oil, Gas &amp; Consumable Fuels &#151; 0.3%</B></DIV>

</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">Chesapeake Energy Corp.:</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></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">5.75% (d)(j)</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>&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">1,182</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">1,157,621</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">5.75% (j)</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>&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">4,151</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="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">4,147,264</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 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">&nbsp;</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 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">&nbsp;</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">&nbsp;</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">5,304,885</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Preferred Stocks &#151; 2.6%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">42,436,298</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Trust Preferred</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><B>Par<BR>
(000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)</B>&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;</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Diversified Financial Services &#151; 0.4%</B></DIV>

</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">GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (e)</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 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">USD</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">256,246</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">6,647,592</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Preferred Securities &#151; 6.8%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">110,235,923</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Investment Companies</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><B>Shares</B></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;</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>
</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">iShares iBoxx $ High Yield Corporate Bond ETF (m)</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 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">&nbsp;</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">497,304</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">45,702,238</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Investment Companies &#151; 2.8%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">45,702,238</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Warrants (n)</B></DIV></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>Media &#151; 0.0%</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></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">New Vision Holdings LLC (Expires 12/31/15)</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 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">&nbsp;</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">89,790</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">4,858</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>Metals &amp; Mining &#151; 0.0%</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></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">Peninsula Energy Ltd. (Expires 12/31/15)</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>&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">11,552,784</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">26,179</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 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">Peninsula Minerals Ltd. (Expires 12/31/15)</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 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">&nbsp;</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">20,061,773</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">62,705</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>Software &#151; 0.0%</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></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">HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27)</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 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">&nbsp;</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">6,494</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">34,652</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Warrants &#151; 0.0%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">128,394</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Long-Term Investments<BR> (Cost &#151; $2,323,570,836) &#151; 142.2%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">2,308,633,134</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Options Purchased<BR> (Cost &#151; $38,133) &#151; 0.0%</B></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 ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</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="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</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">&#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>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Investments<BR> (Cost &#151; $2,323,608,969) &#151; 142.2%</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>&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>&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">2,308,633,134</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 in Excess of Other Assets &#151; (42.2)%</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>&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>&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">(685,533,508</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Net Assets &#151; 100.0%</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>&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>&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 STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,623,099,626</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>


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<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_03-63071-hyt 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_03-63071-hyt 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 STYLE="text-align: left; 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)</FONT></B></TD></TR></TABLE></DIV>
<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: gray 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Notes to Consolidated 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</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">Non-income producing security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(b)</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">All or a portion of security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the
wholly subsidiary.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</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">Restricted security as to resale. As of report date, the Trust held restricted securities with a current value of $2,987,473 and an
original cost of $2,419,572, which was 0.2% of its net assets.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</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">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 ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</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">Variable rate security. Rate shown is 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">(f)</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">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: 8pt Arial, Helvetica, Sans-Serif">
<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">&nbsp;<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">&nbsp;<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>Value</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>Unrealized<BR> Appreciation</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">578,735</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,735</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Citigroup Global Markets, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,450,927</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">31,927</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Pershing LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,487,738</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,726</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Stifel Nicolaus &amp; Co.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">715,750</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,281</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">JPMorgan Securities LLC </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,450,000</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>
</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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</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 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 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" WIDTH="98%"><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 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" WIDTH="98%"><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 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" WIDTH="98%"><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 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">Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.</DIV></FONT></TD>
</TR>
<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" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(m)</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">During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of
Section 2(a)(3) of the 1940 Act 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: 8pt Arial, Helvetica, Sans-Serif">
<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>Affiliate</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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Shares<BR> Held at<BR> August 31,
<BR>
2014</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;&nbsp;<FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Shares<BR> Purchased</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;&nbsp;<FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares<BR> Sold</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Shares<BR> Held at<BR> February 28,
<BR>
2015</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;</TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;&nbsp;&nbsp;</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value at<BR> February 28, <BR>
2015</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;&nbsp;&nbsp;</TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Income</B></FONT>&nbsp;&nbsp;</TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;&nbsp;<FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Realized<BR> Loss</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 STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BlackRock Liquidity Funds, TempFund, Institutional Class<SUP>1</SUP></DIV></FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,602,081</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 3%"><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: right; width: 3%"><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">(3,602,081</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)<SUP>2</SUP>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><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; width: 1%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><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; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">302</FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&#151;</DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</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
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">iShares iBoxx $ High Yield Corporate Bond Fund ETF</DIV></FONT></TD>
     <TD STYLE="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">&#151;</FONT></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">581,858</FONT></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">(84,554</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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">497,304</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;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">45,702,238</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">373,479</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD 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">$(108,408</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)</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: 30pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">No longer held by the Trust as of report
date.</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: 30pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Represents net shares sold.</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: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">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 of the warrants, if any.</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" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, financial futures contracts outstanding 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts<BR>Short</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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Issue</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Exchange</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration</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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Value</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 COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Depreciation</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: right; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,373)</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">S&amp;P 500 E-Mini Index</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">Chicago Mercantile</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">March 2015</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">144,357,220</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(7,293,414</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(229)</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">Russell 2000 E-Mini Index</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">Chicago Mercantile</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">March 2015</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">28,203,640</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">(2,047,750</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"><B>Total</B></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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(9,341,164</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>
<!-- 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%">38</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt PAGE POSITION: 14 -->
<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 STYLE="text-align: left; 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)</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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, forward foreign currency contracts outstanding 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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency Purchased</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;<FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency<BR> Sold</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Settlement<BR> Date</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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,139,517</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">UBS AG</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center; width: 15%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3/04/15</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 1%; 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">(20,454</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</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">CAD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">50,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">40,100</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">(131</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">395,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">448,051</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">(5,773</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">212,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">240,950</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">(3,575</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">901,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,022,886</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">(14,043</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,212,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,929,061</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">28,117</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,476,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,273,726</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">4,230</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">352,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">538,460</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">Citibank N.A.</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">4/21/15</DIV></FONT></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">4,793</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">193,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">299,509</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">(1,646</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">561,000</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">854,236</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">11,572</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,300,379</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">AUD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,605,000</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">Toronto &#151; Dominion Bank</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">4/21/15</DIV></FONT></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">49,735</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">51,573,740</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">CAD</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">61,707,000</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">UBS AG</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">4/21/15</DIV></FONT></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">2,246,997</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">123,753</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">109,000</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">1,707</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">599,218</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">522,000</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">14,739</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">108,439</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">95,000</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">2,068</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">466,013</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">409,000</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">Barclays Bank PLC</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">4/21/15</DIV></FONT></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">8,059</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">115,928,532</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">100,458,000</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">Citibank N.A.</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">4/21/15</DIV></FONT></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">3,446,479</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,435,304</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,170,000</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">Citibank N.A.</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">4/21/15</DIV></FONT></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">5,572</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">232,135</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">199,600</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">Deutsche Bank AG</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">4/21/15</DIV></FONT></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">8,645</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,611,041</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,410,000</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">Deutsche Bank AG</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">4/21/15</DIV></FONT></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">32,275</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,031,522</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,789,000</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">28,392</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">397,344</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">346,000</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">9,930</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,430,316</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,144,800</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">28,800</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">464,684</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">406,800</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">9,193</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">208,594</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">183,000</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">3,690</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">76,526</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">67,000</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">1,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">905,233</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">794,000</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">Goldman Sachs International</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">4/21/15</DIV></FONT></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">16,197</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">206,473</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">183,000</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">1,569</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">447,100</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">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">394,000</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">5,942</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">56,813,205</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">GBP</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">37,453,000</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">Bank of America N.A.</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">4/21/15</DIV></FONT></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">(989,162</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 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">362,020</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">GBP</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">238,000</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">(5,293</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 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">596,268</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">395,000</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">State Street Bank and Trust Co.</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">4/21/15</DIV></FONT></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">(13,347</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 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 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 NOWRAP STYLE="border-bottom: windowtext 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: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">4,916,783</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 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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC options purchased 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="border-top: Black 1pt solid; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Description</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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 2%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Put/<BR> Call</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 6%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Strike<BR>
Price</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 7%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 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: 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
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Goldman Sachs &amp; Co.</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 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 STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="text-align: center">USD&nbsp;942.86</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 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 STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 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 STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, OTC credit default swaps &#151; sold protection outstanding 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: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Issuer</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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Receive<BR> Fixed<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Credit<BR>
Rating<SUP>1</SUP></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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional<BR> Amount<BR> (000)<SUP>2</SUP></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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</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 COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Premiums<BR> Received</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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation</B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&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: 0px; TEXT-INDENT: 0px">CCO
Holdings LLC</DIV></FONT></TD>
     <TD STYLE="width: 3%">&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">8.00%</DIV></FONT></TD>
     <TD STYLE="width: 3%">&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">Deutsche Bank AG</DIV></FONT></TD>
     <TD STYLE="width: 3%">&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: 3%">&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">BB-</DIV></FONT></TD>
     <TD STYLE="width: 3%">&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="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;&nbsp;8,180</FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,365,336</FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,365,336</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
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Level 3 Communications, Inc.</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">5.00%</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">Goldman Sachs Bank USA</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">6/20/19</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">B</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">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,000</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">724,620</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">(330,868</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">1,055,488</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: 0px; TEXT-INDENT:
0px"><B>Total</B></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: 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 STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,089,956</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;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(330,868</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,420,824</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: 30pt; text-align: right"><SUP>1</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: 30pt; text-align: right"><SUP>2</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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><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>
<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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>
<!-- 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 STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</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></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</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" WIDTH="98%"><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. 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. 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. The three levels of the fair value hierarchy are 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="5%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Level 1 &#151; unadjusted quoted prices 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 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%"><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 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%"><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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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.</DIV></FONT></TD>
</TR>
<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" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, the following tables summarize the Trust&#146;s investments and derivative financial instruments categorized
in the disclosure hierarchy:</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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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:</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:</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">101,930,623</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">33,968,232</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,060,324</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">156,959,179</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">40,521,978</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">8,967,621</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">49,489,599</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">1,668,649,758</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,022,913</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,693,672,671</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">218,380,330</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">28,380,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">246,760,664</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">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">3,899,074</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,773,913</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,672,987</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="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">501</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">11,479</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="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">18,546,608</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">64,347,381</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">27,341,934</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">110,235,923</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="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Investment Companies</DIV></FONT></TD>
     <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">45,702,238</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">45,702,238</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 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">62,705</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">65,689</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">128,394</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;166,242,174</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,029,767,254</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;112,623,706</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,308,633,134</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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,420,824</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,420,824</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="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Forward foreign currency 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">5,970,207</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">5,970,207</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 NOWRAP STYLE="text-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">(9,341,164</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">(9,341,164</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">Forward foreign currency 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">(1,053,424</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">(1,053,424</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;(9,341,164</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;7,337,607</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,003,557</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 and forward foreign currency 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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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 February 28, 2015, 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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">&nbsp;<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">&nbsp;<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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,560,398</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,560,398</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">7,858,000</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">7,858,000</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">38,563</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">38,563</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 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">&#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">(2,200,000</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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,200,000</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 NOWRAP STYLE="text-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 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">(719,000,000</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">(719,000,000</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;9,456,961</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(721,200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(711,743,039</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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">During the six months ended February 28, 2015, there were no transfers between Level 1 and Level 2.</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%">40</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_03-63071-hyt 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_03-63071-hyt 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 STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<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" WIDTH="98%"><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>
<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-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Common</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Stocks</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-<BR>
Backed</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Securities</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Bonds</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Rate Loan<BR>
Interests</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Mortgage-</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Backed</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Securities</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Other</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Interests</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Preferred</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Securities</B></FONT></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Warrants</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Assets:</B></FONT><FONT STYLE="font-size: 8pt"><BR></FONT></TD>
     <TD>&nbsp;&nbsp;<FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Opening
     Balance, as of August 31, 2014</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">56,896,277</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,775,056</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 1%"><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="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">29,135,018</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38,229,343</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 1%"><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="text-align: right; width: 1%"><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; width: 1%"><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="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,978</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,011,134</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,857</FONT></TD>
     <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 1%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">132,062,663</FONT></TD>
     <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Transfers
     into Level 3</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">&#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">8,066,342</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">&#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">&#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 STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">118,682</FONT></TD>
     <TD><FONT STYLE="font-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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,300,242</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Transfers
     out of Level 3<SUP>1</SUP></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(16,930,672</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">(5,215,581</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(11,612,029</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">&#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">&#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 STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD><FONT STYLE="font-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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(33,758,282</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Accrued
     discounts/premiums</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">2,580</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">(7,879</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">139,205</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">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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">&#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">&#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 STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD><FONT STYLE="font-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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">134,325</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net
     realized gain (loss) </FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">(8,430</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">(10,305,195</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">131,067</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="text-align: right"><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">&#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">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&#151;</FONT></TD>
     <TD><FONT STYLE="font-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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(10,182,558</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net
     change in unrealized appreciation/ depreciation<SUP>2,3</SUP></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(19,020,499</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">5,016</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">9,903,019</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">(1,416,728</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">6,833</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">&#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">8,036,633</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 STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(57,850</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,543,576</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Purchases
     </FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><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">7,634,105</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">3,920,800</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">161,686</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">1,766,661</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="text-align: right"><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">18,294,167</FONT></TD>
     <TD NOWRAP STYLE="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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD><FONT STYLE="font-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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">31,777,419</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Sales</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: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(225,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(7,622,850</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(5,318,552</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, 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: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</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; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(13,166,527</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Closing
     Balance, as of</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B> February
     28, 2015</B> </FONT></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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">21,060,324</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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,967,621</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,022,913</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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,380,334</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,773,913</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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,978</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,341,934</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">65,689</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">112,623,706</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; padding-left: 10; text-indent: -10"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net
     change in unrealized appreciation/depreciation on investments still held at February 28, 2015<SUP>3</SUP></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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(19,020,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,966</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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,345,424</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,408,689</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">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,833</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,036,633</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(57,850</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(14,784,030</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</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, 2014, the Trust used significant
unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $33,758,282 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 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>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 still held at February 28, 2015 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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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 utilized by the BlackRock Global Valuation
Methodologies Committee (the &#147;Global Valuation Committee&#148;) to determine the value of certain of the Trust&#146;s Level 3 investments and
derivative financial instruments as of February 28, 2015. The table does not include Level 3 investments and derivative financial instruments with
values 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 $66,474,788.</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="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 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>Value</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>Valuation Techniques</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>Unobservable Inputs</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>Range of<BR> Unobservable<BR> Inputs
Utilized</B></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>Assets:<BR></B></DIV></FONT></TD>
     <TD>&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>
     <TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</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">Common Stocks</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">4,776,834</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Comparable Companies</DIV></FONT></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">2P
(Proved and Probable) Reserves</DIV></FONT></TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</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 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>&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>&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">+2C
(Contingent) Resources Multiple<SUP>5</SUP></DIV></FONT></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">CAD<SUP>8</SUP> $0.22x-$0.24x</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 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>&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>&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">PV-10 Multiple<SUP>5,6</SUP></DIV></FONT></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">0.09x-0.11x</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 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">14,720,203</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Comparable Companies</DIV></FONT></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">Merger Value<SUP>5</SUP></DIV></FONT></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">$15.44</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 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">1,563,279</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 COLSPAN="3" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Comparable Companies</DIV></FONT></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">Last
12 Months EBITDA Multiple<SUP>5</SUP></DIV></FONT></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">3.88x-4.63x</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 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>&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>&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">Current Fiscal Year EBITDA Multiple<SUP>5</SUP></DIV></FONT></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">3.88x-4.63x</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 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>&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>&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">Discontinued Operations Expected Sales Proceeds<SUP>5</SUP></DIV></FONT></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">$60<SUP>9</SUP></DIV></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">Corporate Bonds<SUP>4</SUP></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">22,916,789</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Discounted Cash Flow</DIV></FONT></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">Internal Rate of Return<SUP>7</SUP></DIV></FONT></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">10.00%</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 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">2,106,124</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Par</DIV></FONT></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">Call
Price<SUP>5</SUP></DIV></FONT></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">&#151;</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">Warrants </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">4,858</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Estimated Recovery Value</DIV></FONT></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">Distribution Rate<SUP>7</SUP></DIV></FONT></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">$0.0541</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 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">34,652</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 ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Last
Dealer Mark &#151; Adjusted</DIV></FONT></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">Delta Adjustment Based on Daily<BR> Movement in the Common Equity<SUP>5</SUP></DIV></FONT></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">120.00%</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 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">26,179</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 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">Black-Scholes</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&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">Implied Volatility<SUP>5</SUP></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&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">75.718%</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 NOWRAP STYLE="border-bottom: windowtext 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: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">46,148,918</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>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<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>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">For the period ended February 28, 2015, the
valuation technique for certain investments classified as corporate bonds changed to using an income approach. These investments were previously valued
using cost. The 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>5</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>6</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 rate 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>7</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>8</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>9</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="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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
<!-- END DIVISION: DIV_03-63071-hyt 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>


<!-- Field: Split-Segment; Name: [INSERT NAME HERE] -->


<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;February 28, 2015 (Unaudited)</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;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Asset-Backed
Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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>Asset-Backed Securities &#151; 0.6%</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></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">First Franklin Mortgage Loan Trust, Series 2005-FF02, Class M2, 0.83%, 3/25/35 (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: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,023</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;1,022,817</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">Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.60%, 10/25/35 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,875</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">1,638,039</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">Small Business Administration Participation Certificates, Class 1:</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></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">Series 1996-20E, 7.60%, 5/01/16</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">31</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">32,285</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">Series 1996-20G, 7.70%, 7/01/16</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">31</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">31,635</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 1996-20H, 7.25%, 8/01/16</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">34</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">34,698</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">Series 1996-20K, 6.95%, 11/01/16</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">91</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">94,526</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">Series 1997-20C, 7.15%, 3/01/17</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">43</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="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">44,475</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 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">&nbsp;</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">&nbsp;</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">2,898,475</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 COLSPAN="11" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Interest Only Asset-Backed Securities &#151; 0.1%</B></DIV>

</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">Small Business Administration, Series 2000-1, 1.00%, 4/01/15</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">521</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">4,559</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">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,399</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">164,901</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">Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,889</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="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">395,693</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 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">&nbsp;</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">&nbsp;</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">565,153</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Asset-Backed Securities &#151; 0.7%</B></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 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;</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">3,463,628</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Non-Agency Mortgage-Backed Securities</B></DIV></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>Collateralized Mortgage Obligations &#151; 0.9%</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></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">Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.47%, 4/01/18</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">25</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">25</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">Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21</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">379</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">364,448</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">Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.44%, 10/25/35 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,269</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">2,014,255</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">Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.30%, 8/25/23 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">42</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">47,103</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: 6px; TEXT-INDENT:
-6px">Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33</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">591</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">613,526</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">Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.52%, 8/25/34 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">957</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="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">959,251</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 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">&nbsp;</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">&nbsp;</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">3,998,608</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 COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Commercial Mortgage-Backed Securities &#151; 0.6%</B></DIV></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">Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)</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">2,420</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">2,583,744</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 COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Interest Only Collateralized Mortgage Obligations &#151; 0.6%</B></DIV></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">Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.00%, 5/25/33 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,334</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">172,041</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">CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37</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">594</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">157,770</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">First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17</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</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">108</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">GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,728</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">27</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">IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37</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">61,014</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">135,390</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (c)</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">6,815</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">102,221</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">MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19</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">206</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">23,885</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">Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19</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">193</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">12,264</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Non-Agency Mortgage-Backed
<BR>
Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" COLSPAN=11><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Interest Only Collateralized Mortgage Obligations (concluded)</B></DIV></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">Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.07%, 3/20/35 (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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">31,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">864,912</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">Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 4.54%, 8/25/36 (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">15,162</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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;1,364,579</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">Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (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">34,610</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 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</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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 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">2,833,201</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%" COLSPAN=12><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Principal Only Collateralized Mortgage Obligations &#151; 0.1%</B></DIV></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">Countrywide Home Loan Mortgage Pass-Through Trust (d):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2003-J5, 0.00%, 7/25/33</DIV></FONT></TD>
     <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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">170,493</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: 30px; TEXT-INDENT:
-10px">Series 2003-J8, 0.00%, 9/25/23</DIV></FONT></TD>
     <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">114</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">106,813</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: 6px; TEXT-INDENT:
-6px">Drexel Burnham Lambert CMO Trust, Class 1 (d):</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series K, 0.00%, 9/23/17</DIV></FONT></TD>
     <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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,507</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: 30px; TEXT-INDENT:
-10px">Series V, 0.00%, 9/01/18</DIV></FONT></TD>
     <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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,592</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">Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36 (d)</DIV></FONT></TD>
     <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">473</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">318,788</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">Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 0.00%, 4/25/24 (d)</DIV></FONT></TD>
     <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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,076</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">Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 0.00%, 11/25/35 (d)</DIV></FONT></TD>
     <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">199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">142,601</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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 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">746,870</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%" COLSPAN=8 STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Non-Agency Mortgage-Backed Securities &#151; 2.2%</B></DIV></FONT></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">10,162,423</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="100%" COLSPAN=12><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" COLSPAN=12 STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>U.S. Government Sponsored <BR>
Agency Securities</B></DIV></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>Agency Obligations &#151; 2.6%</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></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">Federal Housing Administration:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">USGI Projects, Series 99, 7.43%, <BR>6/01/21&#150;10/01/23</DIV></FONT></TD>
     <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">3,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,230,484</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="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Reilly Projects, Series 41, 8.28%, 3/01/20</DIV></FONT></TD>
     <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">51</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">50,584</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">Resolution Funding Corp., 0.00%, 4/15/30 (d)</DIV></FONT></TD>
     <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">13,000</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 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">8,415,446</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%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; 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 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">11,696,514</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: 6px; TEXT-INDENT:
-6px"><B>Collateralized Mortgage Obligations &#151; 63.9%</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></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">Fannie Mae Mortgage-Backed Securities:</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></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2014-28, Class BD, 3.50%, 1/25/42&#150;8/25/43</DIV></FONT></TD>
     <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">23,787</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,173,042</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: 30px; TEXT-INDENT:
-10px">Series 2011-117, Class CP, 4.00%, 12/25/40&#150;11/25/41</DIV></FONT></TD>
     <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">17,410</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">19,514,317</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: 30px; TEXT-INDENT:
-10px">Series 2011-99, Class CB, 4.50%, 10/25/41</DIV></FONT></TD>
     <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">43,000</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">48,362,487</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: 30px; TEXT-INDENT:
-10px">Series 2010-47, Class JB, 5.00%, 5/25/30</DIV></FONT></TD>
     <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">10,000</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">11,244,540</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: 30px; TEXT-INDENT:
-10px">Series 2003-135, Class PB, 6.00%, 1/25/34</DIV></FONT></TD>
     <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">12,264</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">13,481,754</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: 30px; TEXT-INDENT:
-10px">Series 2004-31, Class ZG, 7.50%, 5/25/34</DIV></FONT></TD>
     <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">4,120</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,845,395</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: 30px; TEXT-INDENT:
-10px">Series 1993-247, Class SN, 10.00%, 12/25/23 (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">171</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">210,777</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: 30px; TEXT-INDENT:
-10px">Series 2005-73, Class DS, 17.11%, 8/25/35 (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">1,215</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,505,526</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: 30px; TEXT-INDENT:
-10px">Series 1991-87, Class S, 26.23%, 8/25/21 (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">18</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,284</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: 30px; TEXT-INDENT:
-10px">Series G-49, Class S, 1,017.02%, 12/25/21 (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">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">454</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: 30px; TEXT-INDENT:
-10px">Series G-17, Class S, 1,063.28%, 6/25/21 (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">83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,209</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: 30px; TEXT-INDENT:
-10px">Series G-33, Class PV, 1,078.42%, 10/25/21</DIV></FONT></TD>
     <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">83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">591</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: 30px; TEXT-INDENT:
-10px">Series G-07, Class S, 1,125.28%, 3/25/21 (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">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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</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: 30px; TEXT-INDENT:
-10px">Series 1991-46, Class S, 2,479.84%, 5/25/21 (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">50</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,071</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><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%">42</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_04-63071-bkt 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_04-63071-bkt PAGE POSITION: 2 -->
<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><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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>U.S. Government Sponsored <BR>
Agency
Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Collateralized Mortgage Obligations (concluded)</B></DIV></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">Freddie Mac Mortgage-Backed Securities:</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></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">Series T-11, Class A9, 3.06%, 1/25/28 (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: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,247</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,300,955</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">Series 4242, Class PA, 3.50%, 5/15/41</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">8,437</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">8,819,157</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">Series 4016, Class BX, 4.00%, <BR>11/15/40&#150;9/15/41</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">26,292</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">28,651,586</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">Series 4316, Class VB, 4.50%, <BR>8/15/32&#150;3/15/34</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">20,787</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">22,977,941</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">Series 3856, Class PB, 5.00%, 5/15/41</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">11,814,690</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">Series 2927, Class BZ, 5.50%, <BR>5/15/23&#150;2/15/35</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">10,828</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">11,812,773</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">Series 2542, Class UC, 6.00%, 12/15/22</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">2,881</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">3,162,634</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 0040, Class K, 6.50%, 8/17/24</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">165</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">188,659</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">Series 2218, Class Z, 8.50%,<BR> 3/15/20&#150;3/15/30</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">2,805</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">3,266,468</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">Series 0173, Class R, 9.00%, 11/15/21</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">5</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</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">Series 0075, Class R, 9.50%, 1/15/21</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">(e)&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</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">Series 0173, Class RS, 9.64%, 11/15/21 (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: 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">(e)&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</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">Series 2861, Class AX, 10.54%, 9/15/34 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">33</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">34,767</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">Series 1160, Class F, 39.42%, 10/15/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8</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">13,762</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 0075, Class RS, 57.62%, 1/15/21 (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: 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">(e)&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</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">Series 1057, Class J, 1,008.00%, 3/15/21</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">39</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">419</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">Series 0192, Class U, 1,009.03%, 2/15/22 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1</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">25</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">Series 0019, Class R, 16,296.05%, 3/15/20 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2</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">384</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">Ginnie Mae Mortgage-Backed Securities:</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></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">Series 2010-099, Class JM, 3.75%, 12/20/38</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">19,300</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">20,131,058</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">Series 2011-88, Class PY, 4.00%, <BR>1/20/39&#150;6/20/41</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">51,891</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">55,468,270</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">Series 2004-89, Class PE, 6.00%, 10/20/34</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">452</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">475,695</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">Series 1996-5, Class Z, 7.00%, 5/16/26</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">277</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="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">309,715</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 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">&nbsp;</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">&nbsp;</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">&nbsp;292,799,922</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 COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Interest Only Collateralized Mortgage Obligations &#151; 3.4%</B></DIV></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">Fannie Mae Mortgage-Backed Securities:</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></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">Series 1997-50, Class SI, 1.20%, 4/25/23 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">158</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">5,334</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">Series G92-60, Class SB, 1.60%, 10/25/22 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">96</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">3,510</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">Series 2013-45, Class EI, 4.00%, <BR>2/25/27&#150;4/25/43</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">21,700</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">2,953,366</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">Series 2010-74, Class DI, 5.00%, 12/25/39</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">10,515</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">700,861</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">Series 1997-90, Class M, 6.00%, 1/25/28</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">2,290</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">381,391</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">Series 1999-W4, 6.50%, 12/25/28</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">162</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">21,716</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">Series 2011-124, Class GS, 6.53%, 3/25/37 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">14,795</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">1,896,027</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">Series 1993-199, Class SB, 7.33%, 10/25/23 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">157</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">10,993</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">Series 089, Class 2, 8.00%, 10/25/18</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</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">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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 007, Class 2, 8.50%, 4/25/17</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</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">90</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">Series G92-05, Class H, 9.00%, 1/25/22</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">19</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">1,403</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 094, Class 2, 9.50%, 8/25/21</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</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">207</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">Series 1990-136, Class S, 19.91%, 11/25/20 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,733</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">7,854</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">Series 1991-139, Class PT, 648.35%, 10/25/21</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">103</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">875</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">Series 1991-099, Class L, 930.00%, 8/25/21</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">45</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">453</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">Series 1990-123, Class M, 1,009.50%, 10/25/20</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">9</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">98</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&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;">


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>U.S. Government Sponsored <BR>
Agency
Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><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-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Interest Only Collateralized Mortgage Obligations (concluded)</B></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px">Fannie Mae Mortgage-Backed Securities (concluded):</DIV></FONT></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">Series G92-12, Class C, 1,016.90%, 2/25/22</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">81</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">600</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">Series G-10, Class S, 1,088.62%, 5/25/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">238</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">5,255</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">Series G-12, Class S, 1,155.63%, 5/25/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">158</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">2,943</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">Freddie Mac Mortgage-Backed Securities:</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></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">Series 2559, 0.50%, 8/15/30 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">67</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">712</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">Series 3744, Class PI, 4.00%, <BR>1/15/35&#150;6/15/39</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">37,868</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">3,384,308</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">Series 4026, 4.50%, 4/15/32</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">4,711</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">673,996</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">Series 2611, Class QI, 5.50%, 9/15/32</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">1,207</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">98,295</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">Series 1043, Class H, 44.22%, 2/15/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,740</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">8,929</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">Series 1054, Class I, 866.21%, 3/15/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">36</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">665</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">Series 0176, Class M, 1,010.00%, 7/15/21</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">15</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">332</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">Series 1056, Class KD, 1,084.50%, 3/15/21</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">25</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">320</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">Series 1148, Class E, 1,176.28%, 10/15/21 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">64</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">1,147</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">Series 0200, Class R, 197,660.56%, 12/15/22 (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: 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">(e)&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">600</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">Ginnie Mae Mortgage-Backed Securities (a):</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></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">Series 2009-116, Class KS, 6.30%, 12/16/39</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">2,331</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">299,639</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">Series 2011-52, Class MJ, 6.48%, 4/20/41</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">13,947</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">2,487,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Series 2011-52, Class NS, 6.50%, 4/16/41</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">15,599</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="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">2,734,306</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 STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 30px; TEXT-INDENT: -10px">&nbsp;</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">&nbsp;</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">15,683,563</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>Mortgage-Backed Securities &#151; 79.4%</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></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">Fannie Mae Mortgage-Backed Securities:</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></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">3.00%, 1/01/43 (f)</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">27,641</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">28,229,821</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">3.50%, 10/01/42&#150;3/01/45 (f) (g)</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">33,784</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">35,444,755</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">4.00%, 1/01/41&#150;9/01/42 (f)</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">31,185</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">33,461,821</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">4.50%, 8/01/25&#150;3/01/45 (f)(g)</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">90,815</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">99,621,589</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">5.00%, 1/01/23&#150;10/01/41 (f)</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">58,139</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">64,979,649</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">5.50%, 4/01/15&#150;10/01/39 (f)(g)</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">34,338</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">38,132,571</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">5.97%, 8/01/16</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">2,908</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">3,068,883</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">6.00%, 3/01/45&#150;4/01/45 (g)</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">43,600</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">49,486,000</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: 30px; TEXT-INDENT:
-10px">6.50%, 12/01/37&#150;10/01/39</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">9,188</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">10,507,633</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">7.50%, 2/01/22</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">(e)&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">56</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">9.50%, 1/01/19&#150;9/01/19</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</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">1,692</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">Freddie Mac Mortgage-Backed Securities:</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></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">2.48%, 1/01/35 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">180</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">184,388</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">2.55%, 10/01/34 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">197</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">202,200</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">3.14%, 11/01/17 (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: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1</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">1,277</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">5.00%, 2/01/22&#150;4/01/22</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">282</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">303,735</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">9.00%, 9/01/20</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">15</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">16,198</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">Ginnie Mae Mortgage-Backed Securities:</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></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">7.50%, 8/15/21&#150;12/15/23</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">112</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">118,740</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">8.00%, 10/15/22&#150;8/15/27</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">50</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">53,361</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">9.00%, 4/15/20&#150;9/15/21</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</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="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">3,156</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 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">&nbsp;</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">&nbsp;</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">&nbsp;363,817,525</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 COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><B>Principal Only Collateralized Mortgage Obligations &#151; 0.2%</B></DIV></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">Fannie Mae Mortgage-Backed Securities (d):</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></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">Series 1999-W4, 0.00%, 2/25/29</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">91</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">83,330</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">Series 2002-13, Class PR, 0.00%, 2/25/21&#150;3/25/32</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">313</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">294,532</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">Freddie Mac Mortgage-Backed Securities, 0.00%, 11/15/22&#150;11/15/28 (d)</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">730</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="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">697,099</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 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">&nbsp;</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">&nbsp;</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">1,074,961</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 COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total U.S. Government Sponsored Agency Securities &#151; 149.5%</B></DIV></FONT></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">685,072,485</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>

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</div><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_04-63071-bkt 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_04-63071-bkt PAGE POSITION: 3 -->
<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><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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>U.S. Treasury
Obligations</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Par<BR> (000)</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></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">U.S. Treasury Notes:</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></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">1.00%, 11/30/19 (f)</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;2,898,981</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">1.38%, 2/29/20 (h)</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">4,405</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">4,378,156</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">1.63%, 11/15/22</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">780</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">766,655</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: 30px; TEXT-INDENT: -10px">2.00%, 2/15/25</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">2,990</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">2,989,534</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total U.S. Treasury Obligations &#151; 2.4%</B></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 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;</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">11,033,326</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Long-Term Investments<BR> (Cost &#151; $703,005,169) &#151; 154.8%</B></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 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;</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;709,731,862</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Short-Term Securities</B></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 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"><B>Shares</B></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"><B>&nbsp;</B>&nbsp;</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>
</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>Money Market Funds &#151; 0.5%</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></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">BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (i)(j)</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">2,249,337</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">2,249,337</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">&nbsp;</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 NOWRAP COLSPAN="3" STYLE="border-bottom: Black 2px solid; text-align: center"> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par<BR> (000)</B></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;</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>
</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>Borrowed Bond Agreement &#151; 0.2%</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></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">Credit Suisse Securities (USA) LLC, 0.16%, Open (Purchased on 12/18/14 to be repurchased at $918,294,
collateralized by a U.S. Treasury Bond, 2.75%, 11/15/42, par and fair value of $917,000 and $942,862, respectively)</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">918</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">918,000</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Short-Term Securities<BR> (Cost &#151; $3,167,337) &#151; 0.7%</B></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 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;</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">3,167,337</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>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<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; padding-top: 9"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<BR>
<B>Short-Term Securities</B></FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 9; 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; padding-top: 9; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Investments Before Borrowed Bonds and TBA Sale Commitments<BR> (Cost &#151; $706,172,506) &#151;
155.5%</B></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">712,899,199</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>Borrowed Bonds</B></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 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"><B>Par<BR>
(000)</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"></B>&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;</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>
</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">U.S. Treasury Bonds, 2.75%, 11/15/42</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">917</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">(942,862</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total Borrowed Bonds<BR> (Proceeds &#151; $842,347) &#151; (0.2)%</B></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 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;</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">(942,862</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><B>TBA Sale Commitments</B></DIV></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">Fannie Mae Mortgage-Backed Securities (g):</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></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">4.50%, 3/01/30</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">4,400</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">(4,611,240</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">5.00%, 3/01/30 &#151; 3/12/45</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">13,200</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">(14,623,582</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: 30px; TEXT-INDENT: -10px">6.00%, 3/01/45</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">21,800</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">(24,756,625</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; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT: 0px"><B>Total TBA Sale Commitments<BR> (Proceeds &#151; $43,906,457) &#151; (9.6)%</B></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 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;</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">(43,991,447</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>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="7" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="text-indent: 0px"><B>Total Investments, Net of Borrowed Bonds and TBA Sale Commitments (Cost &#151; $661,423,702) &#151; 145.7%</B></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">667,964,890</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 COLSPAN="7" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Liabilities in Excess of Other Assets &#151; (45.7)%</B></DIV>

</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:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(209,654,313</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Net Assets &#151; 100.0%</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: 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>&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 STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">458,310,577</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>

<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both">

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">&nbsp;</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: gray 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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</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">Variable rate security. Rate shown is 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">(b)</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">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 ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</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 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 ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</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">Zero-coupon bond.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</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">Amount is less than $500.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</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">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 ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</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 February 28, 2015 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: 8pt Arial, Helvetica, Sans-Serif">
<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>Value</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>Unrealized<BR>
Appreciation/<BR>Depreciation</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 Securities 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">4,401,715</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,527</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Barclays Bank PLC </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,885,539</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(9,363</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(7,594,121</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(53,918</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,056,659</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,386</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Goldman Sachs &amp; Co.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,694,692</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">111,145</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">JPMorgan Securities, Inc.</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(554,570</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">(1,680</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: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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: 8pt Arial, Helvetica, Sans-Serif">
<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-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>Value</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>Unrealized<BR> Depreciation</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-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 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; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,192,687</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; 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: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(307</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">745,430</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">(192</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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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">(j)</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">During the period ended February 28, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section
2(a)(3) of 1940 Act 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: 8pt Arial, Helvetica, Sans-Serif">
<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>Affiliate</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>Shares<BR> Held at<BR> August 31,
2014</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>Net<BR> Activity</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>Shares<BR> Held at<BR> February 28,
2015</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>Income</B></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
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;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">8,012,499</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>
     <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">(5,763,162</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>
     <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: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,249,337</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>
     <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">2,829</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>
<!-- 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%">44</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_04-63071-bkt 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_04-63071-bkt PAGE POSITION: 4 -->
<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 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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, reverse repurchase agreements outstanding 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="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-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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Interest<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Trade<BR> Date</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Maturity<BR> Date<SUP>1</SUP></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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Face Value</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 COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Face Value<BR> Including<BR> Accrued<BR> Interest</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD 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>&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">0.12%</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">7/07/14</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">Open</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,831,575</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,833,246</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: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</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">0.20%</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">9/17/14</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">Open</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">16,380,000</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">16,389,009</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: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</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">0.22%</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">2/11/15</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">3/12/15</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">94,499,000</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">94,508,817</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: 0px; TEXT-INDENT: 0px">Bank of Montreal</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">0.25%</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">2/11/15</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">4/14/15</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">74,906,000</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">74,914,843</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: 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 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>&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>
</TR>
<TR VALIGN="BOTTOM">
     <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</B></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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">188,616,575</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">188,645,915</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">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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">As of February 28, 2015, financial futures contracts outstanding 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: 20%; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts<BR> Long/(Short)</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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Issue</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Exchange</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 6%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Notional<BR>
Value</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Unrealized<BR> Appreciation<BR>
(Depreciation)</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(41)</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">90-Day Euro-Dollar</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Mercantile</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">March 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$10,222,837</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(52,984</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(593)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Long U.S. Treasury Bond</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Board of Trade</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">June 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$95,973,344</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(524,413</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(364)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2-Year U.S. Treasury Note</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Board of Trade</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">June 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$79,562,438</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(71,263</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(159)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10-Year U.S. Treasury Note</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Board of Trade</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">June 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$20,319,703</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(33,501</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(47)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5-Year U.S. Treasury Note</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Board of Trade</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">June 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$&nbsp;5,606,219</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(6,187</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(12)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">90-Day Euro-Dollar</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Mercantile</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">June 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$&nbsp;2,988,750</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(7,073</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(12)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">90-Day Euro-Dollar</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Mercantile</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">December 2015</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$&nbsp;2,976,900</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,823</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(12)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">90-Day Euro-Dollar</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Chicago Mercantile</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">March 2016</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">$&nbsp;2,970,300</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">802</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; vertical-align: bottom">&nbsp;</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">114</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">Ultra Long U.S. Treasury Bond</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">Chicago Board of Trade</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">June 2015</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">$19,184,063</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">159,130</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><B>Total</B></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(537,312</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><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">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center"><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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">As of February 28, 2015, centrally cleared interest rate swaps outstanding 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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><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 NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating<BR> Rate</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Clearinghouse</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Notional<BR> Amount<BR>
(000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Unrealized<BR>
Appreciation</B></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">0.46%<SUP>2</SUP></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">3-month LIBOR</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">Chicago Mercantile</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">6/11/15</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">$100</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">$53</DIV></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">Trust pays the floating rate and receives the fixed
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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;&nbsp;</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">As of February 28, 2015, OTC interest rate swaps outstanding 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="border-top: Black 1pt solid; text-align: center; 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">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Floating<BR> Rate</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Expiration<BR> Date</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Notional<BR> Amount<BR>
(000)</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><BR>Value</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="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Premiums<BR> Received</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 COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4.88%<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 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"><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 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">3/21/15</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">$25,000</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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$57,713&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&#151;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">57,713</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>4.87%<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 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">$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">218,571&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">&#151;</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">218,571</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>2.81%<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 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">$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">439,995&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">&#151;</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">439,995</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>5.72%<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 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">$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">375,306&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">&#151;</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">375,306</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>4.31%<SUP>4</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">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">$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">(6,210,250)</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">&#151;</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">(6,210,250</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>3.43%<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 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">$6,000</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">564,347&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$(170,092)</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">734,439</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>5.41%<SUP>3</SUP></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">3-month LIBOR</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">JPMorgan Chase Bank 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">8/15/22</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">$9,565</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"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">2,322,138&nbsp;</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">&#151;</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">2,322,138</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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&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: 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">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV><B>Total</B></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: 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; 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">$(2,232,180)</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$&nbsp;(170,092)</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,062,088</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>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Trust pays the floating rate and receives the fixed
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>4</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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<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%"><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>

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</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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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_04-63071-bkt PAGE POSITION: 5 -->
<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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</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" WIDTH="98%"><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. 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. 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. The three levels of the fair value hierarchy are 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="5%"><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%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Level 1 &#151; unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the
ability to access</DIV></FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</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" WIDTH="98%"><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 STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</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" WIDTH="98%"><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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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.</DIV></FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<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" WIDTH="98%"><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 February 28, 2015:</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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,898,475</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">565,153</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,463,628</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">7,830,686</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,331,737</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,162,423</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">681,790,421</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,282,064</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">685,072,485</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="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">11,033,326</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">11,033,326</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="60%"><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 ALIGN="LEFT" WIDTH="60%"><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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,249,337</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">2,249,337</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">Borrowed Bond Agreement</DIV></FONT></TD>
     <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">918,000</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">918,000</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: 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: 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: 30px; 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: 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">(942,862</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">(942,862</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">TBA Sale Commitments</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">(43,991,447</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">(43,991,447</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;2,249,337</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;659,536,599</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;6,178,954</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;667,964,890</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>
<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: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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 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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">159,932</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,148,215</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="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">4,308,147</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">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">(697,244</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">(6,210,250</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">(6,907,494</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;(537,312</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,062,035</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,599,347</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 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 ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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 or face amount, including
accrued interest, for financial statement purposes. As of February 28, 2015, 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>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; 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 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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,954,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,954,000</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">7,100,000</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">&#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">7,100,000</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 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">10,000</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">10,000</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: 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 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">&#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">(4,570,000</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">(4,570,000</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">(188,645,915</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">(188,645,915</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;9,064,000</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(193,215,915</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(184,151,915</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 8pt">During the six
                                         months ended February 28, 2015, there were no transfers between Level 1 and Level 2.</FONT></DIV></P>
<!-- 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%">46</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_04-63071-bkt 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_04-63071-bkt PAGE POSITION: 6 -->
<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 ALIGN="LEFT"><FONT STYLE="font-size: 8pt">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:</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: 8pt Arial, Helvetica, Sans-Serif">
<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>Asset-Backed<BR>
Securities</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>Non-Agency<BR> Mortgage-Backed<BR>
Securities</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>U.S. Government<BR> Sponsored
Agency<BR> Securities</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 ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><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: 0px; TEXT-INDENT:
0px">Opening Balance, as of August 31, 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: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;626,872</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,708,549</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,612,672</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,948,093</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="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">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: 0px; TEXT-INDENT:
0px">Transfers out of 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: 0px; TEXT-INDENT:
0px">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">(66,209</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">(6,163</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(72,372</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: 0px; TEXT-INDENT: 0px">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">(116,697</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">(9,489</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(126,176</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: 0px; TEXT-INDENT: 0px">Net
change in unrealized appreciation/depreciation<SUP>1,2</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: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">121,187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&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">(376,812</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">11,122</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(244,503</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: 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: 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: 0px; TEXT-INDENT:
0px">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">(326,078</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">(326,088</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="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Closing Balance, as of February 28, 2015</B><BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">565,153</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,331,737</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,282,064</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,178,954</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: 0px; TEXT-INDENT: 0px">Net
change in unrealized appreciation/depreciation on investments<BR> still held at February 28, 2015<SUP>2</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">121,187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(376,812</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,877</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(247,748</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">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>2</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 still held at February 28, 2015 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="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<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" WIDTH="98%"><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>
<!-- 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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_04-63071-bkt 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>


<!-- Field: Split-Segment; Name: [INSERT NAME HERE] -->


<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 </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><B>February 28, 2015
(Unaudited)<BR></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>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> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Assets<BR></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;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$1,177,108,362</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,262,930,896</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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;710,649,862</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">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">3,264,015</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">45,702,238</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,249,337</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">263,422</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">1,560,398</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 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">5,716,000</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">7,100,000</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 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">1,017,000</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">7,858,000</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">1,954,000</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">&#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">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">12,970,515</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">31,433,679</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,510,623</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">43,906,457</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">1,222,597</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,964,150</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11,750,789</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 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">498,324</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Unrealized appreciation on OTC 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">284,394</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,420,824</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,148,162</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">162,944</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,970,207</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">136,644</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">627,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">159,130</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">100,917</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">65,682</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">175,856</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">781,538</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">55,692</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38,563</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 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">27,422</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">79,091</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">46,521</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">&#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">3,306</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 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">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: 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">14,962</FONT></TD>
     <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">36,486</FONT></TD>
     <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">5,058</FONT></TD>
     <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">1,202,908,892</FONT></TD>
     <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">2,384,844,014</FONT></TD>
     <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">785,228,285</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Liabilities<BR></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">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">367,812,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">188,645,915</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>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">8,965,566</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">4,447,647</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">36,000,822</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">80,461,041</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">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">719,000,000</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>
</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>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">&#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">43,991,447</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 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">2,200,000</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">4,570,000</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">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">441,819</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,054,069</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">227,776</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">334,989</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,053,424</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">211,133</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;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">442,947</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">165,298</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 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">186,559</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">6,210,250</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">185,346</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">330,868</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">170,092</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">136,692</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">118,854</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">&#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">139,300</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">74,633</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">555,722</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">64,908</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 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">73,442</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">47,889</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">16,465</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">47,120</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">&#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 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">37,146</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">1,114,014</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: 6px; TEXT-INDENT:
-6px">Borrowed bonds 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">942,862</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">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">499,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,384</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 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">52,679</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">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">305,775</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">6,334</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">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">215,250</FONT></TD>
     <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">546,839</FONT></TD>
     <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">131,943</FONT></TD>
     <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">383,594,939</FONT></TD>
     <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">761,744,388</FONT></TD>
     <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">326,917,708</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"><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">819,313,953</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,623,099,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">458,310,577</FONT></TD>
     <TD WIDTH=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: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>1</SUP>&nbsp;&nbsp;Investments at cost &#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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,112,610,505</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,279,120,394</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">703,923,169</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>2</SUP>&nbsp;&nbsp;Investments at cost &#151; affiliated </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,264,015</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">44,488,575</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,249,337</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">53,861</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38,564</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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;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">8,319,002</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>5</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">43,906,457</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>6</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;$</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>
</TABLE>
<!-- agabop mode="ep" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">48</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_05-63071-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_05-63071-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><B>February 28, 2015
(Unaudited)<BR></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>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> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Net Assets Consist of<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;748,761,667</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</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;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 (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;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,821,835</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12,477,918</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,727,431</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 realized gain (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">9,803,401</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(135,844,464</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,633,138</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">63,570,720</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">(17,084,921</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">3,941,841</FONT></TD>
     <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">819,313,953</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,623,099,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">458,310,577</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.82</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.17</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>7</SUP>&nbsp;&nbsp;Par value </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.001</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.010</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>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">53,935,126</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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>
</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.<BR></FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_05-63071-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_05-63071-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>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><B>Six Months Ended February 28, 2015
(Unaudited)<BR></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>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> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Investment Income<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;21,890,133</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;65,023,188</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;13,138,009</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">284,675</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,370,623</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">1,469</FONT></TD>
     <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">373,781</FONT></TD>
     <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">2,829</FONT></TD>
     <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">22,176,277</FONT></TD>
     <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">66,767,592</FONT></TD>
     <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">13,140,838</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Expenses<BR></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">2,324,275</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,881,963</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,483,009</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">342,233</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">84,685</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">214,733</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48,675</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="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">49,070</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">114,596</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,028</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">43,267</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">68,383</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">34,366</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">38,931</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">79,539</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22,296</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">33,138</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">127,437</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">24,963</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">78,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">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">28,703</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>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17,165</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">14,467</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,787</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,163</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">6,435</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,157</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11,095</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">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">64,171</FONT></TD>
     <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">104,054</FONT></TD>
     <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">22,325</FONT></TD>
     <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">2,687,142</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">7,718,249</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">2,050,318</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">366,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,156,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">184,314</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">14,580</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">&#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">3,053,247</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">10,889,369</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,234,632</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 style='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">(35,084</FONT></TD>
     <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">(694</FONT></TD>
     <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">(3,520</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">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">3,018,163</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">10,888,675</FONT></TD>
     <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">2,231,112</FONT></TD>
     <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">19,158,114</FONT></TD>
     <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">55,878,917</FONT></TD>
     <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">10,909,726</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Realized and Unrealized Gain (Loss)<BR></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></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 &#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">7,708,910</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">(10,937,988</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,036,397</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">Investments &#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;&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">(108,408</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">5,090,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,222,332</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,863,740</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">2,246,598</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;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,546,340</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">1,843,287</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">243,133</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;&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">(420,136</FONT></TD>
     <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">(2,117</FONT></TD>
     <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">240,032</FONT></TD>
     <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">16,469,111</FONT></TD>
     <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">21,518,628</FONT></TD>
     <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">(5,587,311</FONT></TD>
     <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></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">(318,491</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">(78,932,590</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,689,526</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">(437,672</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">(8,454,383</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">323,150</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">(656,992</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,213,103</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">(2,094,416</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">&#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: 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">179,735</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">(236,925</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(445,918</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 style='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">(83,174</FONT></TD>
     <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">(3,327,836</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>
     <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">(89,837,001</FONT></TD>
     <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">1,483,584</FONT></TD>
     <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 (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">13,141,275</FONT></TD>
     <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">(68,318,373</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;&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">(4,103,727</FONT></TD>
     <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 (Decrease) 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">32,299,389</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12,439,456</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,805,999</FONT></TD>
     <TD WIDTH=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"><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 Operations.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">50</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_05-63071-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_05-63071-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>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<BR>Core Bond Trust (BHK)</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</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">&nbsp;</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:<BR></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>Six Months<BR>Ended<BR>February 28,<BR>
2015<BR>(Unaudited)</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>Year Ended<BR> August
31,<BR>2014</B></B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&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">Operations<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,158,114</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,431,450</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">16,469,111</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">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>
</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">(3,327,836</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>
     <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">29,982,109</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>
</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">32,299,389</FONT></TD>
     <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">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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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">Distributions to Shareholders From<SUP>1</SUP>&nbsp;&nbsp;<BR></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">(24,968,842</FONT></TD>
     <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">(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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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<BR></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 style='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">399,904,994</FONT></TD>
     <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 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">399,904,994</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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<BR></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">407,235,541</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">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>
</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 period </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">412,078,412</FONT></TD>
     <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">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>
</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 period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;819,313,953</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;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>
</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 (distributions in excess of) net investment income, end of period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,821,835</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,988,893</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>
</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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV 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></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 Corporate<BR> High Yield Fund,
Inc. (HYT)</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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:<BR></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>Six Months<BR>Ended<BR> February
28,<BR>2015<BR> (Unaudited)</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>Year Ended<BR> August
31,<BR>2014</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&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">Operations<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,878,917</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">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>
</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">21,518,628</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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>
</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">(89,837,001</FONT></TD>
     <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>
</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">(12,439,456</FONT></TD>
     <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">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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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">Distributions to Shareholders From<SUP>1</SUP><BR></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">(69,883,018</FONT></TD>
     <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">(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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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<BR></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 style='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">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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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<BR></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">(82,322,474</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">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>
</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 period </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">1,705,422,100</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">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>
</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 period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,623,099,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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>
</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 (distributions in excess of) net investment income, end of period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12,477,918</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,526,183</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>
</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">Distributions 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="2"><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_05-63071-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_05-63071-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<BR>Income Trust, Inc.
(BKT)</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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:<BR></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>Six Months<BR>Ended<BR> February
28,<BR>2015<BR> (Unaudited)</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>Year Ended<BR> August
31,<BR>2014</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&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">Operations<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;10,909,726</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;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>
</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 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">(5,587,311</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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>
</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">1,483,584</FONT></TD>
     <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 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">6,805,999</FONT></TD>
     <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">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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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">Distributions to Shareholders From<SUP>1</SUP><BR></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">(13,427,935</FONT></TD>
     <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">(27,623,179</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>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&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<BR></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">(6,621,936</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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>
</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 period </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">464,932,513</FONT></TD>
     <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">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>
</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 period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">458,310,577</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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">Undistributed net investment income, end of period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,727,431</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,245,640</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>
</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">Distributions 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="2"><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%">52</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_05-63071-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_05-63071-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>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>Six Months Ended February 28, 2015
(Unaudited)<BR></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 Trust,<BR>Inc.<BR>
(BKT)</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Cash Provided by Operating Activities<BR></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 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;32,299,389</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;(12,439,456</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;6,805,999</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></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 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">656,009</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">1,767,001</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">146,652</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">(59,161</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">26,921</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">31,426</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">&#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">(6,828</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,869</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 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">2,102</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">19,016</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 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">(116,644</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">(627,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,536</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 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">(3</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 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">(600,000</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">(4,660,000</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">55,000</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 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">708,035</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">&#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: 30px; TEXT-INDENT:
-10px">(Increase) decrease 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">(2,896,000</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">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">600,000</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 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">470,000</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">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: 30px; TEXT-INDENT:
-10px">Increase 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">(7,894</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 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">(29,921</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">&#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">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">(76,146</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">(174,568</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(28,395</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">160,046</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(58,640</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10,378</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 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">(75,499</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">(3,132</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(46,203</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: 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">78,296</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">125,694</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 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">133,489</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 30px; TEXT-INDENT:
-10px">Increase (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">19,047</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">(13,858</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 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">111,638</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">(37,972</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,906</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">11,447</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">39,486</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">11,095</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 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">65,015</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">&#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">6,334</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 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">(242,368</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">&#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">(205,814</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 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">(6,560</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 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">(3,952,000</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">&#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: 30px; TEXT-INDENT:
-10px">Decrease in 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">(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">(690,000</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) loss 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">(8,912,081</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">14,294,021</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(432,043</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) loss on investments, futures, swaps and foreign 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">3,349,291</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">81,382,618</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,160,381</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">2,131,177</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">1,109,393</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,929,971</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">9,685,945</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">269,268</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">417,855,604</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">595,799,733</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">729,931,364</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">(619,047,802</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">(606,651,509</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">(713,614,028</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">Proceeds from borrowed bonds 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">&#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">(83,175</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">(4,306,749</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">3,602,081</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">5,682,162</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 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">(1,381,453</FONT></TD>
     <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">(26,134</FONT></TD>
     <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">(173,967,188</FONT></TD>
     <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">75,095,322</FONT></TD>
     <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">30,197,286</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Cash Used for Financing Activities<BR></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">319,000,000</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>
</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">(323,000,000</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>
</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">(107,021</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">68,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">199,351,376</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">(16,768,714</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">(24,945,133</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;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(69,764,344</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">(13,428,493</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">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">(144,687</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>2</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">(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">(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%"><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">174,261,556</FONT></TD>
     <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">(74,027,394</FONT></TD>
     <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">(30,197,286</FONT></TD>
     <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>&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></TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_05-63071-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_05-63071-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>Six Months Ended February 28,
2015<BR></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 Trust,<BR>Inc.<BR>
(BKT)</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Cash Impact from Foreign Exchange Fluctuations<BR></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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30,035</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,954</FONT></TD>
     <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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Cash and Foreign Currency<BR></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 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">264,333</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">1,069,882</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 period </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">54,781</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">529,079</FONT></TD>
     <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 period </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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">319,114</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,598,961</FONT></TD>
     <TD WIDTH=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><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <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: 6px; TEXT-INDENT: -6px">Supplemental Disclosure of Cash Flow Information<BR></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 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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">366,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,156,540</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>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184,314</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="16" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Non-Cash Financing Activities<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Fair value of investments acquired through reorganization </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">587,549,607</FONT></TD>
     <TD WIDTH=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>
     <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">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: 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">399,904,994</FONT></TD>
     <TD WIDTH=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>
     <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>
</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 $(173,734).</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">54</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_05-63071-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_05-63071-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 align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Financial Highlights</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></B></TD></TR></TABLE></DIV>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD STYLE="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="3" NOWRAP ROWSPAN="2" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Six Months<BR> Ended<BR> February
28,<BR> 2015<BR> (Unaudited)</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="19" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><BR>
<BR>
<BR>
<B>Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
          <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B></FONT></TD>
     <TD STYLE="text-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>
     <TD STYLE="text-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>2012</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2011</B></FONT></TD>
     <TD STYLE="text-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>2010</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 30%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of period </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.05</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.21</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.78</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">14.19</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.56</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income<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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.44</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.87</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.89</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.88</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.83</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.87</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss) </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.13</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">1.23</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(1.11</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">1.37</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">(0.36</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">1.76</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.57</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">2.10</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.22</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">2.25</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">0.47</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">2.63</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Distributions from net investment income<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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.62</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.91</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.94</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.82</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">(0.88</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(1.00</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net asset value, end of period </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.19</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.05</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.21</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">13.78</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.19</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Market price, end of period </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.78</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.64</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.50</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.41</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">12.69</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.92</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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><BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4.37%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">16.09%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.42)%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17.06%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22.44%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Based on market price </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5.79%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16.78%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13.43)%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28.78%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(2.35)%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25.93%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.95%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6,7</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.06%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>7</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.03%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.95%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.18%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.94%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6,7</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>7</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.98%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.94%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.18%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.82%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6,7</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.91%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>7</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.86%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.86%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.93%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.95%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5.95%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.94%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.92%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.13%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6.05%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.62%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;819,314</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;412,078</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;379,913</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;411,136</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;372,295</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;383,540</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">367,812</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,301</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">172,537</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">182,679</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">152,301</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">169,938</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Asset coverage, end of period per $1,000 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,228</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,448</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,202</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,251</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,444</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,270</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate<SUP>8</SUP> </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">41%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">82%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">290%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">824%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">641%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><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">Based on average shares outstanding.</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">Distributions for annual periods determined in accordance with
federal income tax regulations.</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">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 distributions.</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">Aggregate total return.</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 proceeds received from a settlement of litigation, which
impacted the Trust&#146;s total return. Excluding these proceeds, the total return would have been 16.01%.</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">Annualized.</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">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 0.94%, 0.93% and 0.81% for the six months ended February 28, 2015 and 1.00%, 0.96% and 0.85% for the year ended August 31, 2014,
respectively.</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; padding-bottom: 6pt">
<SUP>8</SUP>
</TD>
	<TD STYLE="width: 5pt; padding-bottom: 6pt"></TD><TD STYLE="padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes mortgage dollar roll transactions (&#147;MDRs&#148;).
Additional information regarding portfolio turnover rate is as follows:</FONT></TD>
</TR>
</TABLE>
<TABLE 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></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>Six Months<BR> Ended<BR> February
28,<BR> 2015</B></FONT></TD>
     <TD STYLE="text-align: center"><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">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: top; text-align: center">
     <TD NOWRAP STYLE="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="3" nowrap ALIGN="CENTER"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif"><B>(Unaudited)</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2012</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2011</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2010</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 28%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 11px; TEXT-INDENT:
-10px">Portfolio turnover rate (excluding MDRs) </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right; width: 4%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid; vertical-align: bottom; width: 4%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">37%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left; width: 4%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">237%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">544%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">534%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR></TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_05-63071-financials PAGE POSITION: 8 -->
<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_05-63071-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 align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Financial Highlights</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></B></TD></TR></TABLE></DIV>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt; margin-bottom: 9pt">
<TR VALIGN="BOTTOM">
     <TD STYLE="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="3" NOWRAP ROWSPAN="2" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Six Months<BR> Ended<BR> February
28,<BR> 2015<SUP>1</SUP><BR> (Unaudited)</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="19" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><BR>
<BR>
<BR>
Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="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="1" nowrap ALIGN="CENTER">&nbsp;</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>2014<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>2013<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>2012<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 STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2011</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>2010</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of period </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.47</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.32</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.38</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.68</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income<SUP>2</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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.44</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">1.06</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.05</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss) </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;&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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">0.05</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">1.67</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.10</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">1.11</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">2.72</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Distributions from net investment income<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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.55</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">(1.00</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">(1.02</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net asset value, end of period </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.82</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.62</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.49</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.38</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Market price, end of period </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.52</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.37</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.21</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.19</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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 STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">(0.17)%<SUP>5</SUP></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.90%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">9.95%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">29.26%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Based on market price </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; padding-right: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.11%<SUP>5</SUP></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">9.09%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">29.92%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">1.34%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6,7</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>8</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>9</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.41%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">1.34%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>8</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>9</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.41%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">1.34%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>8</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.16%<SUP>9,10</SUP></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>11</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.12%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">1.09%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6.92%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">8.80%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">9.52%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,623,100</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;446,847</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;405,697</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;401,760</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">719,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">191,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">130,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">89,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Asset coverage, end of period per $1,000 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,257</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,359</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,409</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4,121</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">5,514</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate </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;&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%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">87%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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">85%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;1</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Consolidated Financial Highlights.</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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;2</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;3</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Distributions 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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;4</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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 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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;5</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Aggregate total return.</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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;6</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Annualized.</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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;7</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Offering costs were not annualized in the
     calculation of expense ratios. If these expenses were annualized, the total expenses would have been 1.35%.</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 STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;8</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>&nbsp;9</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>10</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>11</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">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="2"><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%">56</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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_05-63071-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_05-63071-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 align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Financial Highlights</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></B></TD></TR></TABLE></DIV>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD STYLE="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="3" NOWRAP ROWSPAN="2" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Six Months<BR> Ended<BR> February
28,<BR> 2015<BR> (Unaudited)</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="19" NOWRAP STYLE="text-align: center"><BR>
<BR>
<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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="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 NOWRAP STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-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>2014</B></FONT></TD>
     <TD STYLE="text-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>
     <TD STYLE="text-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>2012</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2011</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2010</B></FONT></TD>
</TR>

<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 30%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of period </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.32</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.94</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.96</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.76</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.12</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income<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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.17</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.35</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.32</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.39</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.35</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">0.20</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss) </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.06</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.03</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.46</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.06</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">0.19</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.73</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.11</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.38</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.14</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.45</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">0.54</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">0.93</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Distributions from:<SUP>2</SUP><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>
<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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.21</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">(0.43</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">(0.48</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">(0.27</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">(0.34</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="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">(0.26</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&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: 25px; text-indent: -10px">Net realized gain </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;&nbsp;&nbsp;&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;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 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;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 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;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.20</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
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;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.03</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Total distributions </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.21</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.43</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.48</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.47</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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:
9pt">(0.34</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&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: 9pt">(0.29</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net asset value, end of period </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.17</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.32</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.94</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.96</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.76</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Market price, end of period </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.42</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.42</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.40</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.63</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.18</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.95</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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;<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.88%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.05%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.45)%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.24%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.70%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.86%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Based on market price </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3.31%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.12%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10.34)%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.19%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">8.47%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.19%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.98%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5,6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.00%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.97%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.06%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.05%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.98%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5,6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.00%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.97%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.05%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.02%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.90%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5,6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.96%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.94%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.92%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Net investment income </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4.78%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.74%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.18%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.86%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4.43%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2.72%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM"><TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="27" 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<BR></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;458,311</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;464,933</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;467,948</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;507,852</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;508,765</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;496,260</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of period (000) </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;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">188,646</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">205,415</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">148,344</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">119,706</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">233,676</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">106,985</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Asset coverage, end of period per $1,000 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,429</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,263</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,154</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,242</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,177</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,639</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Portfolio turnover<SUP>7</SUP> </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">103%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">256%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">358%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">487%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">899%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">883%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><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">Based on average shares outstanding.</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">Distributions for annual periods determined in accordance with
federal income tax regulations.</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">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 distributions.</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">Aggregate total return.</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">Annualized.</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">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% for the six months ended February 28, 2015 and the year ended August 31, 2014, respectively.</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; padding-bottom: 6pt">
<SUP>7</SUP>
</TD>
	<TD STYLE="width: 5pt; padding-bottom: 6pt"></TD><TD STYLE="padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes MDRs. Additional information regarding portfolio turnover
rate is as follows:</FONT></TD>
</TR>
</TABLE>
<TABLE 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></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 STYLE="font: 9pt Arial, Helvetica, sans-serif"><B>Six Months<BR> Ended<BR> February
     28,<BR> 2015</B></FONT></TD>
     <TD STYLE="text-align: center"><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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="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="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>(Unaudited)</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2012</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2011</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2010</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 28%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 11px; TEXT-INDENT:
-10px">Portfolio turnover rate (excluding MDRs) </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 4%; text-align: right; 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: center; border-bottom: Black 2px solid; vertical-align: bottom; width: 4%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">44%</FONT></TD>
     <TD NOWRAP STYLE="width: 4%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">125%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">196%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">230%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">387%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">207%</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR></TABLE>
<!-- agabop mode="frill" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><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%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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_05-63071-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>


<!-- Field: Split-Segment; Name: [INSERT NAME HERE] -->



<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>Notes to Financial Statements </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;(Unaudited)</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">The following are registered under the 1940 Act as closed-end
management investment companies and referred to herein collectively as the &#147;Trusts&#148;:</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="65%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Trust Name<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Herein<BR>Referred To As</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Organized</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Diversification<BR>

Classification</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BlackRock Core Bond Trust </DIV></FONT></TD>
     <TD >&nbsp;</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">BHK</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">Delaware</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">Diversified</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-right: 15pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BlackRock Corporate High Yield Fund, 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" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">HYT</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">Maryland</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">Diversified</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-right: 15pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 65%; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BlackRock Income Trust, Inc. </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; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">BKT</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;&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; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">Maryland</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;&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; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">Diversified</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-right: 15pt; border-bottom: Black 1pt 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">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 BHK and the
Board and shareholders of BlackRock Income Opportunity Trust, Inc. (&#147;BNA&#148; and the &#147;Target Fund&#148;) approved the reorganization of the
Target Fund into BHK pursuant to which BHK acquired substantially all of the assets and substantially all of the liabilities of the Target Fund in
exchange for an equal aggregate value of newly-issued Common Shares of BHK. The purpose of the transaction was to combine two 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. The reorganization was a tax-free event and was effective on November 10, 2014.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Common Shareholder of the Target Fund received Common Shares
of BHK in an amount equal to the aggregate net asset value of such Common Shareholder&#146;s Target Fund Common Shares, as determined at the close of
business on November 7, 2014, 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 reorganization was accomplished by a tax-free exchange of
shares of BHK in the following amount and at the following conversion ratio:</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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 ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Shares of<BR> BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&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">BNA
</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; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,456,370</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; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.78050585</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">26,893,279</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></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BNA&#146;s net assets and composition of net assets on November 7,
2014, the valuation date of the reorganization, 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" 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">399,904,994</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Paid-in capital </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">384,183,174</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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(65,119</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Accumulated net realized loss </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(14,090,276</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 unrealized appreciation/depreciation </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">29,877,215</FONT></TD>
     <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 BHK were recorded at fair value. However, the cost basis of the investments received from the Target Fund were carried forward to maintain
ongoing reporting of BHK&#146;s realized and unrealized gains and losses 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 BHK before the acquisition were $402,115,685.
The aggregate net assets of BHK immediately after the acquisition amounted to $802,021,725. The Target Fund&#146;s fair value and cost of investments
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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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">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 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">587,549,607</FONT></TD>
     <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">557,681,213</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>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Assuming the acquisition had been completed on September 1, 2014
the beginning of the fiscal reporting period of BHK, the pro forma results of operations for the six months ended February 28, 2015, are as
follows:</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 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/loss: $23,584,216</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:
$7,794,708</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:
$31,378,924</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">58</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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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<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>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">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
Fund that have been included in BHK&#146;s Consolidated Statement of Operations since November 10, 2014.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Reorganization costs incurred in connection with the
reorganization were expensed by BHK.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">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 Fund&#148; and collectively the
&#147;HYT Target Funds&#148;) approved the reorganizations of each HYT Target Fund into HYT pursuant to which HYT 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 Common Shares of HYT.
On February 28, 2014, HYT changed its name from BlackRock Corporate High Yield Fund VI, Inc. to BlackRock Corporate High Yield Fund, Inc. The purpose
of these transactions was to combine six funds managed the Manager 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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Common Shareholder of a HYT Target Fund received Common
Shares of HYT in an amount equal to the aggregate net asset value of such shareholders HYT 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><B>Target Fund<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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 ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></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: 9pt"><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: 9pt"><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: 9pt"><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: 9pt"><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; border-bottom: Black 1pt solid; padding-right: 9pt"><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 Fund&#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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,800,581</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Distributions in excess of net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(745,598</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,055,877</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 Fund were carried forward to
maintain ongoing reporting of HYT&#146;s realized and unrealized gains and losses 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 Fund&#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" STYLE="width: 100%; font-size: 9pt; margin-bottom: 12pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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: 0px; TEXT-INDENT: 0px">COY
</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">390,967,349</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">384,382,845</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">CYE
</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">426,116,528</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">417,548,014</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">HYV
</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">635,374,976</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">619,705,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">HIS
</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,353,486</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">165,699,553</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BHY </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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 HYT
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"><B>Basis of Consolidation:</B> The accompanying consolidated
financial statements of HYT 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
subsidiaries of the Trust which hold shares of private Canadian companies, Laricina Energy Ltd., Osum Oil Sands Corp. and Seven Generations Energy Ltd.
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. An income tax provision, if any, is included in expenses in the
Consolidated Statement of Operations. The net assets of the Taxable Subsidiaries as of February 28, 2015 were $7,695,108, which is 0.5% 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 HYT.</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. Each Trust is considered an
investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. 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> The Trusts&#146; investments are valued at fair
value as of the close of trading on the New York Stock Exchange (&#147;NYSE&#148;) (generally 4:00 p.m., Eastern time) (or if the reporting date falls
on a day the NYSE is closed, investments are valued at fair value as of the report date). 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 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 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>
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<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<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 exchange are valued at
the official close price each day, if available. For equity investments traded on more than one exchange, the official close 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 NYSE. 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
options on swaps (&#147;swaptions&#148;) 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 Investments&#148;). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate,
seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability 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 Investments 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 Investments 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>
<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</FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</TD>
<TD STYLE="text-align: right; width: 33%">61<BR></TD></TR></TABLE></DIV>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>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 and treasury roll 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, the
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>Distributions:</B> Distributions 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 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 Trusts&#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 prorated 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 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</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"><BR>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 U.S. 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 prepayments of principal, the Trusts may not fully recoup its 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>
<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,</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"><BR>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 its 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 floating rate loan interests (&#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. 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 February 28, 2015, 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 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>
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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">In order to better define contractual rights and to secure rights
that will help the Trusts mitigate their counterparty risk, TBA commitments may be entered into by the Trusts under Master Securities Forward
Transaction Agreements (each, an &#147;MSFTA&#148;). An MSFTA typically contains, among other things, collateral posting terms and netting provisions
in the event of default and/or termination event. 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 the collateral currently pledged by a Trust and the counterparty. Cash
collateral that has been pledged to cover the obligations of a Trust and cash collateral received from the counterparty, if any, is reported separately
on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments,
respectively. Non-cash collateral pledged by a Trust, if any, is noted in the Schedules of Investments. Typically, the Trusts are permitted to sell,
repledge or use the collateral they receive; however, the counterparty is not permitted to do so. To the extent amounts due to the Trusts are not fully
collateralized, contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance.</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 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. 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"><B>Treasury Roll Transactions:</B> Certain Trusts may enter into
treasury roll transactions. In a treasury roll transaction, the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to
repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use
for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense
reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For U.S. GAAP purposes, a treasury roll
transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury
security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the
transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense
incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts&#146; net investment income and dividends to shareholders may be
adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may
decline below the agreed upon repurchase price of those securities.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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:
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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>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">For the six months ended February 28, 2015, the average amount of
reverse repurchase agreements and treasury roll transactions outstanding and the daily weighted average interest rates 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Average<BR> Amount<BR>
Outstanding</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap 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">&nbsp;</FONT></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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">267,444,068</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD 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">0.28%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap>&nbsp;</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">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 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">203,403,774</FONT></TD>
     <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">0.19%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Borrowed bond agreements and reverse repurchase transactions are
entered into by the Trusts under Master Repurchase Agreements (each, an &#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 borrowed bond agreements and reverse repurchase
transactions 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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of February 28, 2015, the following table is a summary of the
Trusts&#146; open borrowed bond and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net
basis:</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="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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&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">Barclays Capital, Inc. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,297,050</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">(19,297,050</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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" 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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 STYLE="text-align: left"><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">161,196,689</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;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(161,196,689</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;</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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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 STYLE="text-align: left"><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">79,735,113</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;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(79,735,113</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;</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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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 STYLE="text-align: left"><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">8,110,354</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">(8,110,354</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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" 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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">HSBC Securities (USA), Inc. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><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">36,146,172</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">(36,146,172</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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" 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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 STYLE="text-align: left"><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">2,127,467</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">(2,127,467</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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" 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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 STYLE="text-align: left"><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">3,423,389</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">(3,423,389</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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" 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&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: windowtext 1pt solid; text-align: left"><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">57,775,965</FONT></TD>
     <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">(57,775,965</FONT></TD>
     <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: 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: windowtext 1pt solid; text-align: center">&nbsp;&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;&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; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">367,812,199</FONT></TD>
     <TD WIDTH=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">
(367,812,199</FONT></TD>
     <TD WIDTH=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; 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;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 2px solid; text-align: center">&nbsp;&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;&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 $434,040,250 has been
pledged in connection with open reverse repurchase agreements. Excess of 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 COLSPAN="30" STYLE="text-align: left; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-size: 8pt"><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>Bond</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Agreements<SUP>2</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-size: 8pt"><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>3</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-size: 8pt"><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 </B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Collateral</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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>4</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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<SUP>4</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><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">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Bank of Montreal</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(74,914,843</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(74,914,843</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">74,914,843</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">74,914,843</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><DIV STYLE="margin-left: 16px; text-indent: -10px; font-size: 8pt"><FONT STYLE="font-size: 8pt">BNP Paribas Securities Corp.</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,833,246</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,833,246</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">2,833,246</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">2,833,246</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><DIV STYLE="margin-left: 16px; text-indent: -10px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Credit Suisse Securities (USA) LLC</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(110,897,826</FONT></TD>
     <TD STYLE="text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(110,897,826</FONT></TD>
     <TD STYLE="text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">110,897,826</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">110,897,826</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">918,000</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(950,246</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(32,246</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">$(32,246)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom; font-size: 8pt">
     <TD STYLE="text-align: left; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD STYLE="font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">918,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(188,645,915</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(950,246</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(188,678,161</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">188,645,915</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-size: 8pt"><DIV STYLE="text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">188,645,915</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right; font-size: 8pt"><FONT STYLE="font-size: 8pt">$(32,246)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; font-size: 8pt"><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>2</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>3</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 $7,384 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>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net collateral with a value of $208,136,967 has been
pledged 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">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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<TR>
<TD STYLE="text-align: left; width: 33%">66</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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>
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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"><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 that 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 invest in long
and/or short positions in 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</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</TD>
<TD STYLE="text-align: right; width: 33%">67<BR></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 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>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>
<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 ALIGN="LEFT">For the six months ended February 28, 2015, transactions in
options written, including swaptions, were as follows:</FONT></DIV></P>

<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></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>Calls</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD STYLE="text-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><B>Puts</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
</TR>
<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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD STYLE="text-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">&nbsp;</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">&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"><B>BHK<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; 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 STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD STYLE="width: 1%">&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, beginning of period </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">955,801</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">113,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,387,821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Options written </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">299,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,892,016</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">404,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,292,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Options expired </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(80,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(871,282</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Options closed </DIV></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;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(145,550</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,864,233</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(99,700</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(2,473,374</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Outstanding options, end of period </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:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">211,350</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,983,584</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">338,100</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,335,418</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><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: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<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: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>HYT<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><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;&nbsp;</FONT></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>
<TD>&nbsp;&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>
<TD>&nbsp;&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>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, beginning of period </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><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 NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">269,268</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: 6px; TEXT-INDENT:
-6px">Options expired </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(119,906</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Options closed </DIV></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;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(900</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(149,362</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&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: 6px; TEXT-INDENT:
-6px">Outstanding options, end of period </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:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; 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;&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">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"><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>
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<TR>
<TD STYLE="text-align: left; width: 33%">68</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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">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>
<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">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. 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>
<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 STYLE="vertical-align: bottom">
    <TD COLSPAN="32" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Fair Values of Derivative Financial Instruments as of February 28, 2015</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    </TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD COLSPAN="15" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    </TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD COLSPAN="7" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>BHK</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>HYT</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>BKT</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    </TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    <TD><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Statements of Assets</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> and Liabilities Location</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="margin-top: 0pt; margin-bottom: 0pt; color: Black"></TD>
    <TD STYLE="text-align: center"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Assets</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black"></TD>
    <TD STYLE="text-align: center"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Liabilities</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black"></TD>
    <TD STYLE="text-align: center"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Assets</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Liabilities</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: right"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Assets</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Derivative</B></FONT><BR><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B> Liabilities</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    </TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Interest rate contracts </FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">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></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">2,501,314</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">9,667,541</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">4,308,147</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">7,077,586</FONT></TD>
    </TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts </FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Unrealized appreciation/depreciation on forward foreign currency exchange contracts</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">162,944</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">334,989</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">5,970,207</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">1,053,424</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    </TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Credit contracts </FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Unrealized appreciation/depreciation on OTC swaps; Swap premiums paid/received</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">373,433</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">371,905</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">2,420,824</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">330,868</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    </TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Equity contracts </FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">Net unrealized appreciation/depreciation<SUP>1</SUP></FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">9,341,164</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    </TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&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: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT><BR></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;3,037,691</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">10,374,435</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;8,391,031</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">10,725,456</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">4,308,147</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">7,077,586</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>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 and centrally cleared swaps, if any, 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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<TR>
<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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>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>
<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=28 WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>The Effect of Derivative
Financial Instruments in the Statements of Operations<BR> Six Months Ended February 28, 2015</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&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></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>
</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>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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></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></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></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></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></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN=11 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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN=11 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">&nbsp;</FONT></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 contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,090,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (6,863,740</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(437,672</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">&#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"> 323,150</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">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(392,685</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">240,032</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">167,704</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">(445,918</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">Options<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,609,662</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">&#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">(1,297,411</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 0px; TEXT-INDENT:
0px">Foreign currency exchange contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD STYLE="text-align: left">&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>
<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">Foreign currency transactions/translations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,195,559</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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"> 36,146,363</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">&#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">(561,797</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <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">(2,026,064</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Credit contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD STYLE="text-align: left">&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>
<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">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(27,451</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">(2,117</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">12,031</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(236,925</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Equity contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD STYLE="text-align: left">&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>
<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">Financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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">(2,222,332</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">(8,454,383</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">&#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<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><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">(88,992</FONT></TD>
     <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 STYLE="width: 5%">&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% ALIGN="RIGHT" nowrap style='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: 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; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,475,537</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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,832,922</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (6,623,708</FONT></TD>
     <TD WIDTH=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 STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,117,145</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10,717,372</FONT></TD>
     <TD WIDTH=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"> (122,768</FONT></TD>
     <TD WIDTH=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">Options purchased are included in the net realized
gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the six months ended February 28, 2015, 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></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;&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">Average notional value of contracts &#151; long </DIV></FONT></TD>
     <TD >&nbsp;</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">209,430,604</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,123,449</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional value of contracts &#151; short </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">228,721,580</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">143,907,735</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">211,094,410</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">Forward foreign currency exchange contracts:<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></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 amounts purchased &#151; in USD </DIV></FONT></TD>
     <TD >&nbsp;</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,728,217</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">261,138,769</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Average amounts sold &#151; in USD </DIV></FONT></TD>
     <TD >&nbsp;</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,422,384</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15,093,071</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Options:<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></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 value 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;&nbsp;$</SUP></FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,225</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">179,850</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">Average value 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;&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;$</SUP></FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">144,975</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional value of swaption contracts purchased </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">131,750,000</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: 20px; TEXT-INDENT:
-10px">Average notional value 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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">443,498,288</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">&#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: 0px; TEXT-INDENT:
0px">Credit default swaps:<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></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 &#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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,401,000</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: 20px; TEXT-INDENT:
-10px">Average notional value &#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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,070,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,797,065</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;&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">Interest rate swaps:<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></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 &#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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">89,607,148</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">60,000,000</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 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: 20px; TEXT-INDENT:
-10px">Average notional value &#151; receives fixed rate </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;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,569,053</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">71,565,000</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>
<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">Actual amounts for the period are shown due to
limited outstanding derivative financial instruments as of each quarter.</FONT></TD>
</TR>
</TABLE>
<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 its 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 their 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</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">70</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>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 (typically either $250,000 or
$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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of February 28, 2015, 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="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>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&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">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&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">&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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></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>Derivative Financial Instruments:</B><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>
<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">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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 136,644</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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 118,854</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 627,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 159,130</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 139,300</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">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">162,944</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">334,989</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,970,207</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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"> 1,053,424</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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: 20px; TEXT-INDENT:
-10px">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">1,991,055</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>1</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">8,965,566</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">&#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 &#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;&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">136,692</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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">23</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: 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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">385,311</FONT></TD>
     <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">371,905</FONT></TD>
     <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">2,420,824</FONT></TD>
     <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">330,868</FONT></TD>
     <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">4,148,162</FONT></TD>
     <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">6,380,342</FONT></TD>
     <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: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities in the<BR> 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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
2,675,954</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
9,928,006</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
9,018,136</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
1,384,292</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4,307,315</FONT></TD>
     <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">
6,519,642</FONT></TD>
     <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: 20px; TEXT-INDENT:
-10px">Derivatives not subject to an Master Netting Agreement of 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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(136,644</FONT></TD>
     <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">(255,546</FONT></TD>
     <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">(627,105</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"><SUP>&#151;</SUP></FONT></TD>
     <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">(159,153</FONT></TD>
     <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">(139,300</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: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities subject<BR> 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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
2,539,310</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
9,672,460</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
8,391,031</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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
1,384,292</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4,148,162</FONT></TD>
     <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">
6,380,342</FONT></TD>
     <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>
<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>
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<TR>
<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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>
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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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of February 28, 2015, 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:</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; margin-bottom: 6pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 173,991</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (173,991</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: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&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: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&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;&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">&#151;</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 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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">90,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(90,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">260,835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(142,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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"> 118,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">43,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,243,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,243,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">37,486</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(37,486</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">548,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(548,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">87,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(58,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28,531</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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="border-bottom: windowtext 1pt solid; text-align: left"><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">53,057</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">(1,001</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">52,056</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 2,539,310</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (2,340,598</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"> 198,712</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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; margin-bottom: 6pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 461,195</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (173,991</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 287,204</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">526,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(90,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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"> (435,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">923,885</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(870,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">53,885</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">142,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(142,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">575,455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(530,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,638,222</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,243,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,100,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,295,048</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
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     <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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">257,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(37,486</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">219,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
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     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HSBC Bank USA, N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">173,043</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">173,043</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
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     <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.<SUP>5</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,914,009</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(548,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,365,482</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
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     <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="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(58,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
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     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
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     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Standard Chartered Bank </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
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     <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="border-bottom: windowtext 1pt solid; text-align: left"><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">1,001</FONT></TD>
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9pt">&nbsp;&nbsp;</FONT></TD>
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     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,001</FONT></TD>
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9pt">)&nbsp;&nbsp;</FONT></TD>
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     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&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">Total<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 9,672,460</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (2,340,598</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (5,300,552</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"> 2,031,310</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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; margin-bottom: 6pt">
<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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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>5</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 50,861</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (50,861</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: 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;&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">&#151;</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">&#151;</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 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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,059</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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"> 8,059</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,456,844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,456,844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,406,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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"> (1,406,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,055,488</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(330,868</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">724,620</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">97,708</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(7,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(90,289</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,083</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(19,083</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">49,735</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">49,735</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><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">2,246,997</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">(20,454</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">2,226,543</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 8,391,031</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (428,685</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,496,545</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"> 6,465,801</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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; margin-bottom: 6pt">
<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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 989,162</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;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (50,861</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 938,301</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">330,868</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(330,868</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(7,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">36,389</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(19,083</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><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 NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17,306</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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: left"><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">20,454</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">(20,454</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><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">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&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: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 1,384,292</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (428,685</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><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 NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"> 955,607</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
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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%">72</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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>
<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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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>5</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 439,995</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">&#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">(439,995</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" 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="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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">218,571</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">&#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">(218,571</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" 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="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="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,431,883</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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"> (170,092</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">(3,261,791</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD 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="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: windowtext 1pt solid; text-align: left"><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">57,713</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(57,713</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,148,162</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(170,092</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(57,713</FONT></TD>
     <TD WIDTH=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">(3,920,357</FONT></TD>
     <TD WIDTH=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>
</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 6,210,250</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" 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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (6,210,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">170,092</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
(170,092</FONT></TD>
     <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: 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: 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="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; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 6,380,342</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (170,092</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (6,210,250</FONT></TD>
     <TD WIDTH=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>
</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 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">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>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>
<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. Net amount may be offset further by the options written receivable/payable on 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">Excess of collateral received from 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 its 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; text-align: left">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">0.50%</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Prior to November 10, 2014, BHK paid the manager an investment
advisory fee at an annual rate 0.55%.</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 daily and payable monthly based on an annual rate of its 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; 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">The following Trust&#146;s investment advisory fee paid to the
Manager is computed weekly and payable monthly based on an annual rate of its 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="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">0.65%</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BKT has an Administration Agreement with the Manager. The
administration fee BKT pays to the Manager is computed weekly and payable monthly based on an annual rate of 0.15% of BKT&#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 was discontinued in
connection with BHK&#146;s reorganization with BNA. For the six months ended February 28, 2015, the Manager waived $33,047, which is included in fees
waived by Manager in the Statements of Operations for BHK.</FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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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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>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 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 six months ended February 28, 2015, 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 WIDTH="70%" 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 70%; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Amounts waived </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;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 2,037</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;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 694</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 3,520</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></TABLE>
<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">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 six months
ended February 28, 2015, 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Purchases</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Sales</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">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 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"> $42,939</FONT></TD>
     <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></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">For the six months ended February 28, 2015, purchases and sales of
investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities, 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; margin-bottom: 6pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN="16" NOWRAP STYLE="text-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>
</TR>
<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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&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">Non-U.S. Government 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: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 174,142,086</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 621,844,251</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 670,677,921</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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">U.S. Government Securities </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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">192,819,493</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><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">28,913,384</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&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">Total Purchases </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 366,961,579</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 621,844,251</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><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"> 699,591,305</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><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>
     <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="16" NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1.5pt solid; padding-top: 4pt"><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>
</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">177,729,893</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">602,768,969</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">694,939,302</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">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;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">200,234,843</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>
     <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">32,285,588</FONT></TD>
     <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: 0px; TEXT-INDENT:
0px">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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">377,964,736</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">602,768,969</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">727,224,890</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>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the six months ended February 28, 2015, purchases and sales
related to mortgage dollar rolls, 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 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-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">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-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">&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">Purchases </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;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;35,968,602</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 401,197,910</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&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">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 NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
36,064,249</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
401,475,650</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><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"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif; color: White">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
</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, except with respect to any taxes related to the Taxable
Subsidiaries.</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 each Trust 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 as of February 28, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions
that require recognition of a tax liability in the Trusts&#146; financial statements.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">74</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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>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">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" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="65%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Expires August 31,<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><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 WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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">5,594,580</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="65%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="text-align: left">2016 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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">4,056,597</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="65%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="text-align: left">2017 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,935,470</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">95,246,388</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="65%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="text-align: left">2018 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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">55,665,607</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">No
expiration date<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">15,439,200</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;5,935,470</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">160,563,172</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;15,439,200</FONT></TD>
     <TD WIDTH=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">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">As of February 28, 2015, 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" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="65%" 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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><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 STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="65%"><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 WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,116,293,631</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,328,973,420</FONT></TD>
     <TD WIDTH=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;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">706,217,053</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Gross unrealized appreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">76,235,716</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">89,286,821</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,929,907</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="65%"><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 WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><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">(12,156,970</FONT></TD>
     <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">(109,627,107</FONT></TD>
     <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">(24,247,761</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;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="65%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">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: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">64,078,746</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,340,286</FONT></TD>
     <TD WIDTH=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">6,682,146</FONT></TD>
     <TD WIDTH=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"><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. As of February 28, 2015, HYT has not received any notice to terminate. 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 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
are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of February 28, 2015 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 six months ended February 28, 2015, the average amount of
bank borrowings and the daily weighted average interest rate for HYT with loans under the revolving credit agreement were $684,955,801 and 0.09%,
respectively.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>9. Principal Risks:</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, 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 their assets in
fixed-income securities and/or use 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 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 Trusts
may be subject to a greater risk of rising interest rates due to the current period of historically low rates.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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 (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 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. Investment
percentages in these securities are presented in the Schedules of Investments. 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. BKT is 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">Shares issued and outstanding for the six months ended February
28, 2015 increased by 26,893,279 due to the reorganization and previously remained constant for the year ended August 31, 2014 for
BHK.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Shares issued and outstanding remained constant for the six months
ended February 28, 2015 and 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 six
months ended February 28, 2015 and the year ended August 31, 2014 for BKT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">HYT filed a final prospectus with the U.S. Securities and Exchange
Commission (&#147;SEC&#148;) allowing it to issue an additional 10,425,000 Common Shares through an equity shelf program (a &#147;Shelf
Offering&#148;). 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&#146;s evaluation the impact of all subsequent events
on the Trusts&#146; financial statements was completed through the date the financial statements were issued and the following items were
noted:</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 in the following
amounts per share on March 31, 2015 to shareholders of record on March 13, 2015:</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</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">$0.075500</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">$0.070000</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">$0.031000</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 April 1, 2015 payable to shareholders of record on April 15, 2015 for the same amounts noted above.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">76</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Important Tax Information </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"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following information is provided with respect to the ordinary
income distributions paid by BlackRock Income Opportunity Trust, Inc. (&#147;BNA&#148;), which completed its reorganization into HYT, during the period
ended November 7, 2014.</FONT></DIV></P>

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     <TD COLSPAN=12 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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
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     <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">&nbsp;</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">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="35%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Record Date</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Percentage</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</FONT></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<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">9/15/2014</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">8.98</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&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">&nbsp;</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">10/15/2014</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">7.57</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: 8px; TEXT-INDENT:
-6px">&nbsp;</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">10/27/2014</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">4.91</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: 8px; TEXT-INDENT:
-6px">Dividends Qualifying for the Dividends Received Deduction for Corporations<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">9/15/2014</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">6.51</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: 8px; TEXT-INDENT:
-6px">&nbsp;</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">10/15/2014</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">5.70</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: 8px; TEXT-INDENT:
-6px">&nbsp;</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">10/27/2014</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">4.19</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: 8px; TEXT-INDENT:
-6px">Interest-Related Dividends for Non-US Residents<SUP>2</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-October 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">80.05</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%" 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>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" 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-October 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">6.77</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>
</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 Fund hereby designates the percentage indicated above or the
maximum amount allowable by law.</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">Represents the portion of the taxable ordinary income dividends
eligible for exemption from U.S. 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>3</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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<TR>
<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</TD>
<TD STYLE="text-align: right; width: 33%">77<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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<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>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>

<P STYLE="text-align: left; margin-bottom: 12pt"><FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Richard E. Cavanagh,
Chairman of the Board and Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit
Committee and Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Michael J. Castellano, Trustee and Member of the Audit Committee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Frank J. Fabozzi, Trustee and Member of the Audit Committee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Kathleen F. Feldstein, Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">James T. Flynn, Trustee and Member of the Audit Committee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Jerrold B. Harris, Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">R. Glenn Hubbard, Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">W. Carl Kester, Trustee and Member of the Audit Committee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Barbara G. Novick, Trustee</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">John M. Perlowski, Trustee, President and Chief Executive Officer</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Robert W. Crothers, Vice President</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Neal Andrews, Chief Financial Officer</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Jay Fife, Treasurer</FONT><BR>
<FONT STYLE="font: x-small Arial, Helvetica, sans-serif">Charles Park, Chief Compliance Officer<BR>
Janey Ahn, Secretary</FONT></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border: Black 1pt solid; padding: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Trusts.</DIV>
                                                                                                    <DIV STYLE="margin-left: 0px; text-indent: 0px"><BR> Effective December 31, 2014, Paul L. Audet and Henry
Gabbay resigned as a Trustee of the Trusts. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Trustees of
the Trusts.</DIV></FONT></TD>
</TR></TABLE>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="25%" COLSPAN=16><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: px; TEXT-INDENT:
0px"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="25%"><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>
<BR> <B>Transfer Agent<BR> </B>Computershare Trust Company, N.A.<BR>
Canton, MA 02021</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: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Custodian and Accounting Agent<BR> </B>State Street Bank and Trust Company<BR> Boston, MA 02110<BR><BR>
<B>Legal Counsel<BR> </B>Skadden, Arps,
Slate,<BR> Meagher &amp; Flom LLP<BR> New York, NY 10036</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><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 WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><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<BR></DIV></FONT></TD>
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</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%">78</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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>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"><B><FONT COLOR="gray">Proxy Results</FONT></B></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">At a special meeting of all shareholders of BlackRock Core Bond
Trust (&#147;BHK&#148;) (the &#147;Fund&#148;) held on Tuesday, September 30, 2014, the results were as follows:</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">With respect to the Proposal, the shares of the Fund were voted as
follows:</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></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;</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>Votes<BR> For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Against</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">To approve the Agreement and Plan of Reorganization between BlackRock Income Trust, Inc. and the Fund,
including the issuance of additional common shares of the Fund, in connection with the BlackRock Income Trust, Inc. Reorganization
Agreement.</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">13,353,682</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,225,927</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">448,862</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><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: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">To
approve the Agreement and Plan of Reorganization between BlackRock Income Opportunity Trust, Inc. and the Fund, including the issuance of additional
common shares of the Fund, in connection with the BlackRock Income Opportunity Trust, Inc. Reorganization Agreement.</DIV></FONT></TD>
     <TD STYLE="padding-top: 5pt; border-bottom: Black 1.5pt solid">&nbsp;</TD>
     <TD STYLE="padding-top: 5pt; border-bottom: Black 1.5pt solid">&nbsp;</TD>
     <TD STYLE="padding-top: 5pt; border-bottom: Black 1.5pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,523,798</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 5pt; border-bottom: Black 1.5pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,045,110</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 5pt; border-bottom: Black 1.5pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 5pt; border-bottom: Black 1.5pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">459,563</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 5pt; border-bottom: Black 1.5pt 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: 18px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV
ALIGN="LEFT">At a special meeting of all shareholders of BlackRock Income Trust, Inc. (&#147;BKT&#148;) (the &#147;Fund&#148;) held on Tuesday,
September 30, 2014, the results were as follows:</FONT></DIV></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">With respect to the Proposal, the shares of the Fund were voted as
follows:</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></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;</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>Votes<BR> For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Against</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">To
approve an Agreement and Plan of Reorganization between the Fund and BlackRock Core Bond Trust and the termination of the Fund&#146;s registration
under the Investment Company Act of 1940.</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 4pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 4pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 4pt">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,091,472</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 4pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16,603,540</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 4pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">885,330</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 18px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV
ALIGN="LEFT">At a special meeting of all shareholders of BlackRock Income Opportunity Trust, Inc. (&#147;BNA&#148;) (the &#147;Fund&#148;) held on
Tuesday, September 30, 2014, the results were as follows:</FONT></DIV></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">With respect to the Proposal, the shares of the Fund were voted as
follows:</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></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; margin-bottom: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="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="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Against</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt">&nbsp;</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">&nbsp;</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">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">To
approve the Agreement and Plan of Reorganization between the Fund and BlackRock Core Bond Trust and the termination of the Fund&#146;s registration
under the Investment Company Act of 1940.</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,895,855</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,405,089</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1.5pt solid; padding-bottom: 5pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">518,302</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1.5pt solid; padding-bottom: 5pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></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"><B><FONT COLOR="gray">Dividend Policy</FONT></B></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. 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>
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<TR>
<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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:
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="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>
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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; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">General Information</FONT></B></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">On December 5, 2014, the Board of HYT adopted the following
non-fundamental investment policy change: &#147;As a non-fundamental investment policy, the Trust may invest up to 25% of it&#146;s total assets in
corporate loans extended to borrowers by commercial banks or other financial institutions.&#147; This investment policy change increased the percentage
of total assets that HYT may invest in corporate loans from 15% to 25%. As a result of this investment policy change, corporate loans comprise a higher
portion of HYT&#146;s portfolio, which may increase the Trust&#146;s exposure to corporate loans. Please see &#147;Floating Rate Loan Interests&#148;
in Note 3 to the Notes to Financial Statements for additional information about corporate loans.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">During the period, except as noted above, 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>
<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>
<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 upon request and without charge (1) 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>
<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 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>
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<TD STYLE="text-align: left; width: 33%">80</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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 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; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Section 19(a) Notices</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">These amounts and sources of distributions reported are only
estimates provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for
tax reporting purposes will depend upon each Trust&#146;s investment experience during the year and may be subject to changes based on the tax
regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax
purposes.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=36 WIDTH="15%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>February 28, 2015<BR></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 COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="15%" 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=15 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Total Cumulative<BR> Distributions for
the Fiscal Year-to-Date<BR> </B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=15 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>% Breakdown of the Total Cumulative<BR>
Distributions for the Fiscal Year-to-Date</B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="15%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Net<BR> Investment<BR> Income</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Net<BR> Realized<BR> Capital<BR>
Gains</B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Return<BR> of<BR> Capital</B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Total Per<BR> Common<BR> Share</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Net<BR> Investment<BR> Income</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Net<BR> Realized<BR> Capital<BR>
Gains</B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Return<BR> of<BR> Capital</B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER">&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Total Per<BR> Common<BR> Share</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="15%"><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;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.307424</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.315576</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <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">0.623000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">49</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-right: 9pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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 NOWRAP STYLE="width: 5%; text-align: left; padding-right: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-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="15%" style='border-bottom: solid windowtext 1pt'><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: 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">0.501813</FONT></TD>
     <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;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.050187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.552000</FONT></TD>
     <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</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid; padding-right: 9pt"><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</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid; padding-right: 6pt"><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</FONT></TD>
     <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">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>
</TABLE>
<P ALIGN="LEFT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><DIV STYLE="MARGIN-LEFT: 18px" ALIGN="LEFT">The Trust estimates that it has
distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return
of capital may occur, for example, when some or all of the shareholder&#146;s investment in the Trust is returned to the shareholder. A return of
capital does not necessarily reflect the Trust&#146;s investment performance and should not be confused with &lsquo;yield&#146; or &lsquo;income.&#146;
When distributions exceed total return performance, the difference will incrementally reduce the Trust&#146;s net asset value per
share.</FONT></DIV></P>
<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; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Shelf Offering Program</FONT></B></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>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">HYT has filed a final prospectus with the SEC in connection with
its Shelf Offering. This report and the prospectus are not offers to sell HYT Common Shares or solicitations of an offer to buy HYT Common Shares in
any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about HYT, including its investment
objectives, risks, charges and expenses. Investors are urged to read the prospectus of HYT carefully and in its entirety before investing. A copy of
the final prospectus for HYT can be obtained from BlackRock at <B>http://www.blackrock.com</B>.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">FEBRUARY 28, 2015</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:
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<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
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background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">BlackRock Privacy Principles</FONT></B></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>
<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>
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<TD STYLE="text-align: left; width: 33%">82</TD>
<TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">FEBRUARY 28, 2015<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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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">This report is intended for current holders. 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>
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&nbsp;</DIV></FONT></TD>
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<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
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<TD>&nbsp;&nbsp;&nbsp;&nbsp;</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">CEFBHK-2/15-SAR</DIV></FONT></TD>
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<BR>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%">
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 2 &ndash;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Code of Ethics &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 3 &ndash;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Audit Committee Financial Expert &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 4 &ndash;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Principal Accountant Fees and Services &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 5 &ndash;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Audit Committee of Listed Registrants &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 0"><FONT STYLE="font-size: 11pt">Item 6 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 0"><FONT STYLE="font-size: 11pt">Investments</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 0">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 0"><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 NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; 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>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 7 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Item 8 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Portfolio Managers of Closed-End Management Investment Companies </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; width: 9%">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in; width: 3%"><FONT STYLE="font-size: 11pt">(a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp; </FONT></TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp; </FONT></TD>
    <TD STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">As of the date of this filing, there have been no changes in any of the portfolio managers identified
in the most recent annual report on Form N-CSR.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 9 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers &ndash; Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 10 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; 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 NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 11 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Controls and Procedures</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; 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 NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; 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 NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 12 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Exhibits attached hereto</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(1) &ndash; Code of Ethics &ndash; Not Applicable to this semi-annual report</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(2) &ndash; Certifications &ndash; Attached hereto</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(3) &ndash; Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-right: -0.25in; padding-bottom: 0">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 0; padding-bottom: 0; padding-left: 0"><FONT STYLE="font-size: 11pt">(b) &ndash;
    Certifications &ndash; Attached hereto</FONT></TD></TR>
</TABLE>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">BlackRock Income Trust, Inc.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; padding-right: -0.25in"><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt"><U>/s/ John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">John M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Chief Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Date: May 1, 2015</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; padding-right: -0.25in"><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt"><U>/s/ John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">John M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Chief Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Date: May 1, 2015</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; padding-right: -0.25in"><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt"><U>/s/ Neal J. Andrews</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Neal J. Andrews</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">Chief Financial Officer (principal financial officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in"><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Date: May 1, 2015</P>


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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e63780ex99cert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
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<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0; text-indent: -0.25pt"><FONT STYLE="font: 11pt Times New Roman, Times, Serif; 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<BR>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&nbsp;(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: May 1, 2015</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 0pt"></TD><TD>John M. Perlowski</TD></TR></TABLE>

<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 Arial, Helvetica, Sans-Serif; margin: 0; text-indent: -0.25pt"><FONT STYLE="font: 11pt Times New Roman, Times, Serif; 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<BR>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&nbsp;(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: May 1, 2015</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 0pt"></TD><TD>Neal J. Andrews</TD></TR></TABLE>

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


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<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>e63780ex99-906cert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<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's Report on Form N-CSR for the period ended February 28, 2015 (the &ldquo;Report&rdquo;) fully complies with
the requirements of Section 13a 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: May 1, 2015</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's Report on Form N-CSR for the period ended February 28, 2015 (the &ldquo;Report&rdquo;) fully complies with
the requirements of Section 13a 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: May 1, 2015</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">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"><B>&nbsp;</B></P>



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

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<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>4
<FILENAME>blackrock_1-5in.jpg
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
