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Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
Originator-Key-Asymmetric:
 MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen
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MIC-Info: RSA-MD5,RSA,
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<SEC-DOCUMENT>0000928816-05-001145.txt : 20050829
<SEC-HEADER>0000928816-05-001145.hdr.sgml : 20050829
<ACCEPTANCE-DATETIME>20050829172336
ACCESSION NUMBER:		0000928816-05-001145
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20050630
FILED AS OF DATE:		20050829
DATE AS OF CHANGE:		20050829
EFFECTIVENESS DATE:		20050829

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM MASTER INTERMEDIATE INCOME TRUST
		CENTRAL INDEX KEY:			0000830622
		IRS NUMBER:				046584465
		FISCAL YEAR END:			0930

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		051056402

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		6172921562

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>mii1.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
<!doctype html public "-//IETF//DTD HTML//EN">
<HTML>
<HEAD>
<TITLE>&lt;SUBMISSION&gt;</TITLE>
<META NAME="author" CONTENT="Larry McMunn">
<META NAME="date" CONTENT="08/29/2005">
</HEAD>
<BODY style="line-height:12pt; font-size:10pt; color:#000000">
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Item 1. Schedule of Investments:</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">----------------------------------------------------</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<A NAME="RANGE!E3"></A><TABLE style="font-size:10pt" cellspacing=0><TR><TD style="border-bottom:0.5pt solid #000000" width=549.467 colspan=4><P style="margin:0pt; line-height:20pt; font-family:Verdana; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Verdana" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Courier New" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Verdana" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=455.4 colspan=2><P style="margin:0pt; line-height:16pt; font-family:Verdana; font-size:14pt">The fund's portfolio</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD><A NAME="RANGE!E5"></A></TR>
<TR><TD width=455.4 colspan=2><P style="margin:0pt; font-family:Verdana">June 30, 2005 (Unaudited)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>-</P>
</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>CORPORATE BONDS AND NOTES (24.5%)(a)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Basic Materials (2.6%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$4,250,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$4,802,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>486,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;489,645 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cognis Holding GmbH &amp; Co. 144A sr. notes 9 1/2s, 2014 (Germany)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>265,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;346,445 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$285,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;237,975 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>775,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;674,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero %, (10s, 10/1/09) 2014 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>345,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;243,225 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Equistar Chemicals LP notes 8 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>375,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;394,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>581,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;628,933 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Georgia-Pacific Corp. company guaranty 9 3/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>705,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;797,531 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Georgia-Pacific Corp. company guaranty 8 7/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>405,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;459,675 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Georgia-Pacific Corp. debs. 7.7s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>80,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;91,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>680,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;737,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hercules, Inc. company guaranty 11 1/8s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>390,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;440,213 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Huntsman Advanced Materials, LLC sec. FRN 10.89s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;105,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Huntsman Advanced Materials, LLC sec. notes 11s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>240,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;271,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Huntsman, LLC company guaranty 11 5/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>260,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;304,525 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Huntsman, LLC company guaranty 11 1/2s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>191,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;223,948 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>225,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;229,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">International Steel Group, Inc. sr. notes 6 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>130,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;124,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>646,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;699,295 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>80,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;80,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>40,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>459,743 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;447,998 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>235,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;235,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>440,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;548,332 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Nalco Co. sr. sub. notes 9s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>75,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;98,232 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Nalco Co. sr. sub. notes 8 7/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$1,045,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,120,763 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Novelis, Inc. 144A sr. notes 7 1/4s, 2015 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>805,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;808,019 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PQ Corp. 144A company guaranty 7 1/2s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>235,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;230,888 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;424,946 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rockwood Specialties Group, Inc. 144A sub. notes 7 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;148,875 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Steel Dynamics, Inc. company guaranty 9 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>695,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;740,175 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>146,606 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;145,140 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Stone Container Corp. sr. notes 9 3/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>145,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;152,975 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Stone Container Corp. sr. notes 8 3/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>240,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;242,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Stone Container Finance company guaranty 7 3/8s, 2014 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>140,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;131,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>80,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;58,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>161,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;164,824 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">United States Steel Corp. sr. notes 9 3/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>509,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;549,720 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">WHX Corp. sr. notes 10 1/2s, 2005 (In default) (NON)(DEF)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>190,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;187,150 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;18,857,035 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Capital Goods (1.5%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>732,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;770,430 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>33,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;34,485 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>282,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;282,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Blount, Inc. sr. sub. notes 8 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>541,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;578,870 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>73,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;72,361 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crown Euro Holdings SA company guaranty 6 1/4s, 2011 (France)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>107,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;134,899 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crown Euro Holdings SA sec. notes 10 1/4s, 2011 (France)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>80,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;109,671 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$316,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;349,180 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>870,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,022,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Decrane Aircraft Holdings Co. company guaranty zero %, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,981,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;752,780 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>31,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;29,605 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,384,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,342,480 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>55,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;62,150 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>180,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;240,333 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$220,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;229,900 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mueller Group, Inc. sr. sub. notes 10s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>265,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;278,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Owens-Brockway Glass company guaranty 7 3/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>520,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;552,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>964,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,062,810 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sequa Corp. sr. notes 9s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>985,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,083,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>436,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;374,960 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Terex Corp. company guaranty 9 1/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>190,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;206,150 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Terex Corp. company guaranty Ser. B, 10 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>730,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;795,700 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Titan Corp. (The) company guaranty 8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>370,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;396,825 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;10,762,089 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Communication Services (1.5%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Alamosa Delaware, Inc. company guaranty 11s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>332,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;373,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Alamosa Delaware, Inc. company guaranty stepped-coupon zero % (12s, 7/31/05), 2009 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>268,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;295,470 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">American Cellular Corp. company guaranty 9 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>195,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;198,413 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>529,140 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,874 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>227,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;232,675 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cincinnati Bell, Inc. 144A sr. notes 7s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>578,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;564,995 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Citizens Communications Co. sr. notes 6 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,711,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,655,393 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Globix Corp. company guaranty 11s, 2008 (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>238,031 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;223,154 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>515,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;543,325 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>754,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;591,890 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">iPCS, Inc. sr. notes 11 1/2s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>300,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;334,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">IWO Escrow Co. 144A sec. FRN 6.891s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>82,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;81,385 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Nextel Communications, Inc. sr. notes 5.95s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,081,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,161,639 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Qwest Communications International, Inc. company guaranty 8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>428,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;404,995 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Qwest Corp. notes 8 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,501,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,632,338 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Qwest Corp. 144A sr. notes 7 5/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>409,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;417,691 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Qwest Services Corp. sec. notes 14s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>360,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;436,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>164,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;198,030 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>75,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;69,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SBA Communications Corp. sr. notes 8 1/2s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>228,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;245,670 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>250,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;230,000 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;10,907,187 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Consumer Cyclicals (5.5%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">ArvinMeritor, Inc. notes 8 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>615,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;641,138 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Autonation, Inc. company guaranty 9s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>885,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;966,863 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Beazer Homes USA, Inc. company guaranty 8 3/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>155,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;166,238 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>585,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;633,263 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>165,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;176,344 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>134,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;137,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CanWest Media, Inc. company guaranty 8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>748,021 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;781,682 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Coinmach Corp. sr. notes 9s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>858,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;883,740 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">D.R. Horton, Inc. sr. notes 7 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>630,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;704,025 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">D.R. Horton, Inc. sr. notes 5 7/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>440,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;443,086 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dana Corp. notes 10 1/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>160,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;166,762 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dana Corp. notes 9s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>550,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;616,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dana Corp. notes 6 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>295,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;289,504 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>605,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;659,450 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dex Media, Inc. notes 8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>580,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;616,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>658,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;592,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">FelCor Lodging LP company guaranty 9s, 2008 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>515,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;562,638 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Gaylord Entertainment Co. sr. notes 8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>402,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;422,603 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">General Motors Acceptance Corp. FRN 4.1s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;337,741 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">General Motors Acceptance Corp. FRN Ser. MTN, 4.13s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>695,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;674,036 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Goodyear Tire &amp; Rubber Co. (The) notes 7.857s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,075,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,045,438 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>185,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;187,775 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>725,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;752,188 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Interpublic Group of Companies, Inc. notes 6 1/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>285,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;266,137 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">JC Penney Co., Inc. notes 9s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>575,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;682,813 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">JC Penney Co., Inc. notes 8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>30,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;33,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">John Q. Hammons Hotels LP/John Q. Hammons Hotels Finance Corp. III 1st mtge. Ser. B, 8 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>449,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;491,655 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jostens IH Corp. company guaranty 7 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>718,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;709,025 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>600,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;649,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>385,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;383,075 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>295,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;297,213 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">KB Home company guaranty 5 7/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>232,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;230,179 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">KB Home sr. notes 5 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>333,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;330,036 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Levi Strauss &amp; Co. sr. notes 12 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>362,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;395,485 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Levi Strauss &amp; Co. sr. notes 9 3/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>651,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;646,118 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>587,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;616,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Meritage Homes Corp. company guaranty 6 1/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>235,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;218,550 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Meritage Homes Corp. sr. notes 7s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>160,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;156,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Meritor Automotive, Inc. notes 6.8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>405,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;400,950 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MGM Mirage, Inc. company guaranty 8 1/2s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>675,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;749,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MGM Mirage, Inc. company guaranty 6s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>802,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;806,010 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Movie Gallery, Inc. 144A sr. unsecd. notes 11s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>478,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;501,900 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Owens Corning notes 7 1/2s, 2006 (In default) (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>534,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;389,820 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Oxford Industries, Inc. sr. notes 8 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>460,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;492,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Park Place Entertainment Corp. sr. notes 7 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>905,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;993,238 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Park Place Entertainment Corp. sr. notes 7s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>495,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;549,450 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>395,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;440,919 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>433,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;450,320 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PRIMEDIA, Inc. sr. notes 8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>688,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;689,720 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">R.H. Donnelley Corp. 144A sr. notes 6 7/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>335,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;341,700 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>475,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;552,188 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>365,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;370,475 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>450,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;512,438 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Russell Corp. company guaranty 9 1/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>576,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;609,120 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Saks, Inc. company guaranty 7s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,107,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,107,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Scientific Games Corp. 144A sr. sub. notes 6 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>626,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;632,260 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>735,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;742,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Standard Pacific Corp. sr. notes 7 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>420,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;436,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Starwood Hotels &amp; Resorts Worldwide, Inc. company guaranty 7 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>560,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;631,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Starwood Hotels &amp; Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>390,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;407,550 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Starwood Hotels &amp; Resorts Worldwide, Inc. debs. 7 3/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>520,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;578,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Starwood Hotels &amp; Resorts Worldwide, Inc. notes 6 3/4s, 2005</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>585,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;588,656 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Station Casinos, Inc. sr. notes 6s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>470,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;477,050 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Teksid Aluminum 144A company guaranty 11 3/8s, 2011 (Luxembourg)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>125,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;123,774 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$420,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;422,100 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>436,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;492,680 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>604,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;561,720 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Toys R Us, Inc. notes 7 5/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;321,125 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">United Auto Group, Inc. company guaranty 9 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>515,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;549,763 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>736,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;699,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Vertis, Inc. 144A sub. notes 13 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>730,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;544,763 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">WCI Communities, Inc. company guaranty 9 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>810,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;848,475 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">William Carter Holdings Co. (The) company guaranty Ser. B, 10 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>399,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;450,742 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">WRC Media Corp. sr. sub. notes 12 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>540,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;571,725 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A 1st mtge. 6 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>555,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;539,738 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;39,138,919 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Consumer Staples (3.2%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Affinity Group, Inc. sr. sub. notes 10 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;483,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Affinity Group, Inc. sr. sub. notes 9s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>545,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;551,813 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AMC Entertainment, Inc. sr. sub. notes 8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>456,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;404,700 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON)(PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>119,699 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;25,496 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Brand Services, Inc. company guaranty 12s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>565,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;604,550 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>409,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;400,820 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;57,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>525,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;347,813 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>835,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;624,163 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>860,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;664,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>975,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;706,875 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>444,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;448,440 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cinemark USA, Inc. sr. sub. notes 9s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>30,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;30,825 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>990,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;658,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>825,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;880,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>425,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;453,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>353,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;348,588 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,068,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,003,920 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dean Foods Co. sr. notes 6 5/8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>918,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;959,310 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Del Monte Corp. sr. sub. notes 8 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>560,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;616,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>320,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;326,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,026,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,020,870 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,742,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;13,710 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Doane Pet Care Co. sr. sub. debs. 9 3/4s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,370,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,332,325 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Echostar DBS Corp. company guaranty 6 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,119,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,092,513 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Granite Broadcasting Corp. sec. notes 9 3/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>542,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;504,060 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>345,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;356,213 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>415,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;409,813 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 (Germany)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>461,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;500,185 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Knology, Inc. 144A sr. notes 12s, 2009 (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>42,635 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;42,475 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>741,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;663,195 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Playtex Products, Inc. company guaranty 9 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>736,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;774,640 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Playtex Products, Inc. sec. notes 8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>770,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;822,938 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>450,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;466,875 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>482,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;526,585 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Remington Arms Co., Inc. company guaranty 10 1/2s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>735,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;694,575 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sbarro, Inc. company guaranty 11s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>726,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;729,630 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Scotts Co. (The) sr. sub. notes 6 5/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>255,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;263,288 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Six Flags, Inc. sr. notes 9 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>673,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;629,255 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Young Broadcasting, Inc. company guaranty 10s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>431,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;409,450 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>365,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;323,025 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;23,173,909 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Energy (3.9%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Arch Western Finance, LLC sr. notes 6 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,347,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,390,778 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>487,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;521,090 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>467,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;465,833 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>345,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;344,138 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>269,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;290,520 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,031,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,116,058 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Chesapeake Energy Corp. sr. notes 7s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>279,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;295,740 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Comstock Resources, Inc. sr. notes 6 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>510,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;515,100 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dresser, Inc. company guaranty 9 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>696,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;732,540 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Exco Resources, Inc. company guaranty 7 1/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>725,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;725,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Forest Oil Corp. company guaranty 7 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>108,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;115,560 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Forest Oil Corp. sr. notes 8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>540,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;595,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Forest Oil Corp. sr. notes 8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>335,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;358,450 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,860,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,280,825 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>584,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;556,260 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>517,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;523,463 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Key Energy Services, Inc. sr. notes 6 3/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>463,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;463,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Massey Energy Co. sr. notes 6 5/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>774,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;797,220 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">NAK Naftogaz Ukrainy bonds 8 1/8s, 2009 (Ukraine)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,205,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Newfield Exploration Co. sr. notes 7 5/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>700,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;766,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>348,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;364,530 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>655,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;632,075 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>522,566 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;555,824 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>355,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;369,644 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>862,750 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;948,507 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pemex Project Funding Master Trust 144A notes 5 3/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,060,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,041,730 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Petroleum Geo-Services notes 10s, 2010 (Norway)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>565,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;632,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pioneer Natural Resources Co. company guaranty 6 1/2s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>115,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;119,137 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Plains Exploration &amp; Production Co. sr. notes 7 1/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>415,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;444,050 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Plains Exploration &amp; Production Co. sr. sub. notes 8 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>485,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;526,225 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>670,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;711,875 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pride International, Inc. sr. notes 7 3/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>826,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;906,535 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Seabulk International, Inc. company guaranty 9 1/2s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>600,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;674,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>699,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;650,070 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>670,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;723,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>145,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;152,975 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;27,512,252 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Financial (1.2%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bosphorus Financial Services Ltd. 144A sec. FRN 5.068s, 2012 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,856,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,855,491 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>310,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;316,975 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Finova Group, Inc. notes 7 1/2s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>525,820 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;233,990 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">UBS Luxembourg SA for Sberbank sub. notes 6.23s, 2015 (Luxembourg)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,220,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,250,525 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">VTB Bank (VTB Capital) 144A notes 7 1/2s, 2011 (Luxembourg)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,220,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,509,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Western Financial Bank sub. debs. 9 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>540,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;585,900 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;8,752,681 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Health Care (2.2%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AmerisourceBergen Corp. company guaranty 7 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>397,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;437,196 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AmerisourceBergen Corp. sr. notes 8 1/8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>560,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;608,300 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ardent Health Services, Inc. sr. sub. notes 10s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>990,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,196,663 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>183,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;186,203 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Coventry Health Care, Inc. sr. notes 5 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>320,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;325,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DaVita, Inc. 144A sr. notes 6 5/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>175,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;180,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DaVita, Inc. 144A sr. sub. notes 7 1/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>345,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;354,488 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>535,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;530,988 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">HCA, Inc. notes 6 3/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>263,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;272,891 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">HCA, Inc. notes 6 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>550,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;562,162 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">HCA, Inc. notes 5 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>260,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;258,852 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Healthsouth Corp. notes 7 5/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,080,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,050,300 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Healthsouth Corp. sr. notes 8 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>245,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;243,163 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Healthsouth Corp. sr. notes 7s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>205,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;206,025 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>595,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;562,275 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>805,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;418,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>740,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;732,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>737,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;812,543 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Service Corp. International notes 6 1/2s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>110,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;112,475 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Service Corp. International notes Ser. *, 7.7s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>270,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;288,900 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Service Corp. International 144A sr. notes 6 3/4s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>535,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;547,038 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Service Corporation International 144A sr. notes 7s, 2017</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>170,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;174,675 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>547,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;541,530 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Tenet Healthcare Corp. notes 7 3/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>390,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;385,125 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Tenet Healthcare Corp. sr. notes 9 7/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,226,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,314,885 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Triad Hospitals, Inc. sr. notes 7s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>825,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;860,063 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Triad Hospitals, Inc. sr. sub. notes 7s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>211,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;216,803 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>840,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;848,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">US Oncology, Inc. company guaranty 9s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>420,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;449,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>556,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;600,480 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>305,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;350,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>173,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;173,865 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>201,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;208,548 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;16,012,474 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Technology (0.7%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>515,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;507,275 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,229,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,321,175 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Iron Mountain, Inc. company guaranty 8 5/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>700,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;724,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>13,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;11,050 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SCG Holding Corp. 144A notes zero %, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>330,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;495,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Xerox Corp. notes Ser. MTN, 7.2s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>175,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;189,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Xerox Corp. sr. notes 9 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>195,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;279,126 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Xerox Corp. sr. notes 7 5/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$1,080,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,162,350 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;4,689,476 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Transportation (0.2%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>550,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;522,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>760,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;577,600 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">NWA Trust sr. notes Ser. A, 9 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>231,538 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;235,012 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Travelcenters of America, Inc. company guaranty 12 3/4s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>190,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;207,100 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">United AirLines, Inc. debs. 9 1/8s, 2012 (In default) (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>620,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;82,150 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;1,624,362 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Utilities &amp; Power (2.0%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AES Corp. (The) sr. notes 8 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>54,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;60,210 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AES Corp. (The) sr. notes 8 3/4s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>30,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;32,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AES Corp. (The) 144A sec. notes 8 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>460,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;512,900 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Allegheny Energy Supply 144A bonds 8 1/4s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>451,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;505,120 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Allegheny Energy Supply 144A sec. notes 10 1/4s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>340,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;374,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CMS Energy Corp. sr. notes 8.9s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>600,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;652,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CMS Energy Corp. sr. notes 7 3/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>180,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;193,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>174,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;171,544 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DPL, Inc. sr. notes 6 7/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>635,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;685,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,288,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,455,440 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">El Paso CGP Co. notes 6 3/8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>200,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;197,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">El Paso Natural Gas Co. sr. notes Ser. A, 7 5/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>365,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;385,075 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">El Paso Production Holding Co. company guaranty 7 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>754,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;804,895 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>520,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;501,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mission Energy Holding Co. sec. notes 13 1/2s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>749,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;889,438 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Monongahela Power Co. 1st mtge. 6.7s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>400,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;451,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Northwest Pipeline Corp. company guaranty 8 1/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>480,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;520,800 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Northwestern Corp. 144A sr. sec. notes 5 7/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>319,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;326,975 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">NRG Energy, Inc. 144A sr. sec. notes 8s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,131,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,193,205 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Orion Power Holdings, Inc. sr. notes 12s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>655,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;784,363 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PSEG Energy Holdings, Inc. notes 7 3/4s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>615,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;634,988 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SEMCO Energy, Inc. sr. notes 7 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>517,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;539,653 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Teco Energy, Inc. notes 7.2s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>185,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;200,725 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Teco Energy, Inc. notes 7s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>280,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;302,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>32,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;33,920 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>585,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;615,713 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>612,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;630,360 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Utilicorp United, Inc. sr. notes 9.95s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>361,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;391,685 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Williams Cos., Inc. (The) notes 8 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;170,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)(NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>226,429 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;18,884 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;14,236,893 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total corporate bonds and notes (cost $173,243,874)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$175,667,277 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (16.0%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>U.S. Government Agency Mortgage Obligations (16.0%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Federal Home Loan Mortgage Corporation</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">6 1/2s, with due dates from June 1, 2024 to January 1, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$19,511,893 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$20,222,581 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Federal National Mortgage Association Pass-Through Certificates</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">8 1/2s, March 1, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>35 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;36 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">8s, with due dates from October 1, 2025 to July 1, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>16,023 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;17,443 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">7 1/2s, December 1, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>14,149 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,161 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">6 1/2s, with due dates from April 1, 2028 to February 1, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>20,732,691 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;21,486,656 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">6 1/2s, October 1, 2018</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>25,993 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;27,031 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">5 1/2s, with due dates from September 1, 2034 to July 1, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>30,436,964 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;30,887,370 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">5 1/2s, TBA, July 1, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>9,960,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;10,095,394 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">5s, with due dates from April 1, 2019 to April 1, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,489,883 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,520,452 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">4 1/2s, with due dates from August 1, 2033 to June 1, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,402,790 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,332,713 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">4 1/2s, TBA, July 1, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>26,200,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;26,081,283 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;114,686,120 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total U.S. government and agency mortgage obligations (cost $114,400,107)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$114,686,120 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>U.S. TREASURY OBLIGATIONS (10.4%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">U.S. Treasury Notes</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">6 1/2s, February 15, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$7,500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$8,371,875 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">4 1/4s, August 15, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>38,008,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,970,078 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">3 1/4s, August 15, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>27,242,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;26,903,603 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total U.S. treasury obligations (cost $73,991,891)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$74,245,556 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>FOREIGN GOVERNMENT BONDS AND NOTES (16.8%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Brazil (Federal Republic of) bonds 10 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$3,970,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$4,694,525 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Brazil (Federal Republic of) notes 11s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,240,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,839,400 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bulgaria (Republic of) 144A bonds 8 1/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,220,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,526,830 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Canada (Government of) bonds Ser. WH31, 6s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>CAD</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,680,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,255,650 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">China Development Bank notes 4 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$210,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;211,960 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Colombia (Republic of) notes 10s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,715,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,318,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">France (Government of) bonds 4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,730,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;6,157,953 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">France (Government of) bonds 3 1/2s, 2015 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>18,499,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;23,087,224 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Germany (Federal Republic of) bonds Ser. 97, 6s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>5,500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;7,170,397 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Germany (Federal Republic of) bonds Ser. 97, 6s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,700,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;9,870,780 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Greece (Hellenic Republic of) bonds 3 1/2s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,345,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,682,990 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">IN 144A notes 7 1/4s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$2,265,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,276,325 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Indonesia (Republic of) FRN 3.813s, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>185,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;183,150 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Indonosia (Republic of) 144A sr. notes 6 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>210,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;208,425 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ireland (Republic of) bonds 5s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;10,392,445 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Peru (Republic of) bonds 8 3/8s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$3,595,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,031,793 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Philippines (Republic of) bonds 8 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,125,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,279,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Philippines (Republic of) 144A sr. sub. notes 3.2s, 2005</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>JPY</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>81,000,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;731,844 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Russia (Ministry of Finance) debs. Ser. V, 3s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$2,445,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,304,413 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">South Africa (Republic of) notes 7 3/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,395,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,597,275 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">South Africa (Republic of) notes 6 1/2s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,330,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,478,295 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Spain (Government of) bonds 5.4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,000,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,392,075 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Spain (Government of) bonds 5s, 2012 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>800,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,101,071 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sweden (Government of) bonds Ser. 3101, 4s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>SEK</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>26,915,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,340,629 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>SEK</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>30,690,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;5,098,816 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">United Mexican States notes 6 5/8s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$9,620,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;10,548,330 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Uruguay (Republic of) notes 9 1/4s, 2017</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>480,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;511,200 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Venezuela (Republic of) notes 10 3/4s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,515,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Venezuela (Republic of) unsub. bonds 5 3/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,095,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,948,350 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total foreign government bonds and notes (cost $117,037,376)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$120,756,021 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>ASSET-BACKED SECURITIES (10.9%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">ABSC NIMS Trust 144A Ser. 03-HE5, Class A, 7s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$127,848 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$128,168 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Aegis Asset Backed Securities Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1N, Class Note, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>32,291 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;32,291 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2N, Class N1, 4 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>106,673 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;106,456 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-4N, Class Note, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>103,179 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;103,179 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>650,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;651,755 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ameriquest Finance NIM Trust 144A Ser. 04-RN9, Class N2, 10s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>302,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;277,840 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>13,521 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;13,555 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Arcap REIT, Inc. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-1A, Class E, 7.11s, 2038</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>383,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;408,733 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class E, 6.42s, 2039</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>361,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;375,722 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Argent NIM Trust 144A Ser. 04-WN2, Class A, 4.55s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>12,701 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;12,832 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Asset Backed Funding Corp. NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-0PT1, Class N2, 6.9s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>156,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;155,999 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>112,073 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;112,073 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>148,351 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;148,545 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FF1, Class N2, 5s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>38,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;35,024 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE1, Class N2, 8s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>252,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;244,847 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1, 3.96s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>296,806 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;297,247 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4 1/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>340,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;346,534 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>13,468,101 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;227,942 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Alternate Trust Ser. 05-4, Class 22A2, 5.27s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,564,217 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,621,167 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Alternate Trust Ser. 05-5, Class 21A1, 4.697s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,815,343 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,821,583 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Asset Backed Securities NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>123,790 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;123,152 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>195,988 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;195,988 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE7N, Class A1, 5 1/4s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>157,983 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;157,983 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Asset Backed Securities, Inc. Ser. 04-FR3, Class M6, 6.564s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>286,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;292,703 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bombardier Capital Mortgage Securitization Corp.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-A, Class A2, 7.575s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>169,650 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;120,427 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-A, Class A4, 8.29s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>619,819 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;501,860 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-B, Class A3, 7.18s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,166,029 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;856,667 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-B, Class A4, 7.3s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>793,657 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;592,029 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bombardier Capital Mortgage Securitization Corp. FRB Ser. 00-A, Class A1, 3.38s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>178,289 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;94,493 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CARSSX Finance, Ltd. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 04-AA, Class B3, 6.57s, 2011 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>153,140 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;154,456 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 04-AA, Class B4, 8.72s, 2011 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>486,801 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;493,685 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 4.3s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;357,608 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CHEC NIM Ltd., 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>174,174 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;174,164 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>94,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;93,463 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>58,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;49,880 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Conseco Finance Securitizations Corp.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-2, Class A4, 8.48s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>233,129 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;232,897 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-4, Class A4, 7.73s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,536,012 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,502,220 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-4, Class A5, 7.97s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>240,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;206,646 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-4, Class A6, 8.31s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,412,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,016,421 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-6, Class A5, 7.27s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>101,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;96,554 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-6, Class M2, 8.2s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>546,688 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;54,669 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-4, Class A4, 7.36s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>268,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;275,018 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-1, Class A5, 6.99s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>897,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;853,761 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-3, Class A3, 5.79s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>13,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;13,248 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-3, Class A4, 6.91s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,073,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,068,366 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-3, Class M2, 7.44s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>300,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;49,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-4, Class B1, 9.4s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>554,257 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;74,825 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-1, Class A, 6.681s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,929,115 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,009,597 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 01-4, Class M1, 4.86s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>295,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;118,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Consumer Credit Reference IDX Securities 144A FRB Ser. 02-1A, Class A, 5.05s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>790,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;802,282 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Countrywide Asset Backed Certificates 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-6N, Class N1, 6 1/4s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>816,346 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;819,407 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-BC1N, Class Note, 5 1/2s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>115,838 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;115,910 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Countrywide Home Loans Ser. 05-2, Class 2X, IO, 0.983s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>10,515,402 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;302,318 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>431,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;436,991 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 7.701s, 2039</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,870,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,966,714 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">First Consumers Master Trust FRN Ser. 01-A, Class A, 3.53s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>319,698 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;317,101 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">First Franklin Mortgage Loan NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-FF3A, Class A, 6 3/4s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>15,635 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,693 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FF1, Class N1, 4 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>6,355 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;6,337 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>200,748 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;200,735 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class 1A1, 4.842s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,823,505 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,836,894 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Fremont NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-3, Class A, 4 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>243,727 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;242,972 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-3, Class B, 7 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>54,697 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;52,444 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-A, Class Note, 4 3/4s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>82,290 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;82,002 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Granite Mortgages PLC</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom) </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,430,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,879,363 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 03-2, Class 3C, 6.489s, 2043 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,075,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,994,432 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;&nbsp;FRB Ser. 02-1, Class 1C, 4.445s, 2042 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$440,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;446,908 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Green Tree Financial Corp.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 94-4, Class B2, 8.6s, 2019</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>371,038 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;280,312 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 94-6, Class B2, 9s, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>883,982 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;758,583 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 95-4, Class B1, 7.3s, 2025</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>371,800 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;366,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 95-8, Class B1, 7.3s, 2026</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>362,579 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;289,521 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 96-8, Class M1, 7.85s, 2027</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>387,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;341,842 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-3, Class A5, 6.16s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>77,779 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;78,970 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-5, Class A5, 7.86s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,480,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,051,941 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Greenpoint Manufactured Housing</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-3, Class IA, 8.45s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,101,177 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,064,833 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-5, Class A4, 7.59s, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>115,350 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;120,636 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,180,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,164,137 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">GSAMP Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-HE1N, Class Note, 7 1/4s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,361 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,363 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FM1N, Class Note, 5 1/4s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>49,756 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;49,706 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE1N, Class N1, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>83,939 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;83,780 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-NIM1, Class N1, 5 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>806,246 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;806,085 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-NIM1, Class N2, zero %, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>519,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;381,465 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-NIM2, Class N, 4 7/8s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>891,495 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;887,394 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-SE2N, Class Note, 5 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>98,491 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;98,412 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class E, 5.114s, 2030 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>371,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;368,915 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Holmes Financing PLC FRB </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;&nbsp;&nbsp;Ser. 4, Class 3C, 4.441s, 2040 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>210,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;212,688 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;&nbsp;&nbsp;Ser. 8, Class 2C, 3.861s, 2040 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>235,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;236,102 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Home Equity Asset Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-5N, Class A, 8s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>40,184 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;40,184 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-7N, Class A, 5 1/4s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>21,452 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;21,385 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1N, Class A, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>27,453 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;27,363 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-5N, Class A, 5 1/4s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>258,221 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;258,221 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 05-6N, Class A, 5 1/4s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>424,491 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;423,430 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 6.05s, 2037 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,260,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,260,882 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Long Beach Asset Holdings Corp. NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N1, 4.94s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>80,785 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;80,785 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-5, Class Note, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>151,935 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;152,269 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Long Beach Mortgage Loan Trust</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-3, Class S1, IO, 4 1/2s, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,377,695 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;64,407 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-3, Class S2, IO, 4 1/2s, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>688,843 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;32,203 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Lothian Mortgages PLC 144A FRN Ser. 3A, Class D, 5.731s, 2039 (United Kingdom) </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>900,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,612,980 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 6.564s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$1,046,356 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;512,714 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Master Asset Backed Securities NIM Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-CI5, Class N2, 9s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>143,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;141,213 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE1A, Class Note, 5.191s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>130,723 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;131,116 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MBNA Credit Card Master Note Trust FRN Ser. 03-C5, Class C5, 4.4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;356,710 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>16,990 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;16,990 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Merrill Lynch Mortgage Investors, Inc. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>82,742 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;82,716 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE1N, Class N1, 5s, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>75,066 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;74,597 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mid-State Trust Ser. 11, Class B, 8.221s, 2038</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>158,685 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;165,863 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Morgan Stanley ABS Capital I FRB Ser. 04-HE8, Class B3, 6.514s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>214,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;220,555 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2, Class E, 5s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>178,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;171,471 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Morgan Stanley Dean Witter Capital I</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 01-NC3, Class B1, 5.764s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>87,188 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;87,204 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 01-NC4, Class B1, 5.814s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>96,293 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;96,350 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6 1/2s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>27,750 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;27,793 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Novastar NIM Trust 144A Ser. 04-N1, Class Note, 4.458s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>16,322 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;16,322 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Oakwood Mortgage Investors, Inc.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-A, Class A2, 7.765s, 2017</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>221,426 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;190,320 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-D, Class A4, 7.4s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,022,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;652,186 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-C, Class A2, 5.92s, 2017</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,155,487 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;686,073 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-C, Class A4, 7.405s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>673,377 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;447,284 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-D, Class A2, 5.26s, 2019</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>201,526 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;149,655 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-D, Class A4, 6.93s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>844,534 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;660,723 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-E, Class A2, 5.05s, 2019</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,508,441 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,191,487 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-A, Class A2, 5.01s, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>505,793 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;418,081 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-B, Class A4, 7.09s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>443,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;408,608 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-C, Class A1, 5.41s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,829,834 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,628,029 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-B, Class A4, 6.99s, 2026</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,384,125 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,242,921 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-D, Class A1, 7.84s, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,295,540 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,224,726 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>292,459 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;277,002 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ocean Star PLC 144A FRB Ser. 04-A, Class E, 9 3/4s, 2018 (Ireland)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>485,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;485,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Option One Mortgage Securities Corp. NIM Trust 144A Ser. 03-5, Class Note, 6.9s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,457 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,464 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Park Place Securities NIM Trust 144A Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>71,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;71,270 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pass-Through Amortizing Credit Card Trust Ser. 02-1A, Class A4FL, 8.59s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>33,349 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;33,419 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">People's Choice Net Interest Margin Note 144A Ser. 04-2, Class B, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>90,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;81,540 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Permanent Financing PLC FRB</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 1, Class 3C, 4.579s, 2042 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;353,360 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 3, Class 3C, 4.529s, 2042 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;356,522 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 6, Class 3C, 5.54s, 2042 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>887,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,595,722 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Providian Gateway Master Trust Ser. 02, Class B, PO, zero %, 2006</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$1,313,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,278,232 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Residential Accredit Loans, Inc. Ser. 05-QA4, Class A21, 5.291s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,805,682 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,829,763 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Residential Asset Mortgage Products, Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s, 2005</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,665,069 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;239 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Residential Asset Securities Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>323,798 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;322,534 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Residential Mortgage Securities 144A FRB Ser. 20A, Class B1A, 5.766s, 2038 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;265,470 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>72,260 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;73,592 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SAIL Net Interest Margin Notes 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>128,173 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;129,275 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-12A, Class A, 7.35s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>38,564 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,935 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>27,214 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;27,374 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,962 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;8,007 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>50,052 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;49,211 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>15,547 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,628 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>58,349 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;57,777 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>15,693 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,795 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>37,993 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,005 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>96,139 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;95,197 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>482,291 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;482,435 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>224,026 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;224,071 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>266,136 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;266,189 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>144,585 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;144,441 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-7A, Class B, 6 3/4s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>41,532 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;40,461 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>308,461 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;308,553 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>174,878 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;172,762 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>180,824 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;180,336 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sasco Net Interest Margin Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>273,262 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;122,968 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 05-WF1A, Class A, 4 3/4s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>470,819 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;471,902 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Saxon Net Interest Margin Trust 144A Ser. 03-A, Class A, 6.656s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>160 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;160 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sharps SP I, LLC Net Interest Margin Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-0P1N, Class NA, 4.45s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>38,361 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,361 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-HS1N, Class N, 7.48s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>9,114 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;9,126 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-TC1N, Class N, 7.45s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>6,987 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;6,987 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-FM1N, Class N, 6.16s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>9,299 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;9,337 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HE2N, Class NA, 5.43s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>68,411 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;68,240 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-HS1N, Class Note, 5.92s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>18,861 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;18,861 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">South Coast Funding 144A FRB Ser. 3A, Class A2, 4.43s, 2038 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>140,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;140,364 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Structured Asset Investment Loan Trust</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-BC1A, Class A, 7 3/4s, 2033 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>47,516 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;47,934 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-BC8, Class A, IO, 6s, 2005</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>963,995 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;8,805 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1, Class A, IO, 6s, 2005</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>9,153,119 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;38,043 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">TIAA Real Estate CD0, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>467,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;458,632 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">TIAA Real Estate CD0, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>390,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;377,712 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Wells Fargo Home Equity Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>558,250 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;558,216 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>214,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;207,580 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Whole Auto Loan Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-1, Class D, 6s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>392,775 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;393,210 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1, Class D, 5.6s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>504,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;502,898 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total asset-backed securities (cost $78,731,840)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$77,891,381 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>SENIOR LOANS (7.7%)(a)(c)</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Basic Materials (0.6%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Graphic Packaging Corp. bank term loan FRN Ser. C, 5.5063s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$136,882 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$138,821 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hercules, Inc. bank term loan FRN Ser. B, 4.8715s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>372,307 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;375,472 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Koch Cellulose, LLC bank term loan FRN Ser. B, 5.09s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>167,075 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;168,398 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Koch Cellulose, LLC bank term loan FRN Ser. C, 4.6s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>32,502 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;32,759 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Nalco Co. bank term loan FRN Ser. B, 5.0265s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,218,142 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,236,224 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Novelis, Inc. bank term loan FRN 4.96s, 2012 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>554,427 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;559,971 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Novelis, Inc. bank term loan FRN Ser. B, 4.96s, 2012 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>962,952 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;972,582 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rockwood Specialties Group, Inc. bank term loan FRN Ser. D, 5.43s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,000,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,012,708 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SGL Carbon AG bank term loan FRN 5.9909s, 2009 (Germany)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>172,015 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;172,875 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;4,669,810 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Capital Goods (0.9%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Allied Waste Industries, Inc. bank term loan FRN Ser. A, 2.01s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>270,270 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;270,758 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Allied Waste Industries, Inc. bank term loan FRN Ser. B, 5.1489s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>708,091 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;709,298 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Amsted Industries, Inc. bank term loan FRN 5.909s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>180,644 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;182,450 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Flowserve Corp. bank term loan FRN Ser. C, 5.8349s, 2009 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>69,448 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;70,288 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Goodman Global Holdings bank term loan FRN Ser. B, 5 1/2s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,492,500 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,507,425 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hexcel Corp. bank term loan FRN Ser. B, 5.2392s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,356,667 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,366,842 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Invensys, PLC bank term loan FRN Ser. B-1, 6.8813s, 2009 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>117,680 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;119,445 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mueller Group, Inc. bank term loan FRN 5.7789s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>515,533 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;518,110 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Solo Cup Co. bank term loan FRN 5.078s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>148,125 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;149,273 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Terex Corp. bank term loan FRN 4.89s, 2009 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;151,563 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Terex Corp. bank term loan FRN Ser. C, 5.39s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>750,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;758,438 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Transdigm, Inc. bank term loan FRN Ser. C, 5.3s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>496,985 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;501,644 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;6,305,534 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Communication Services (0.9%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Centennial Cellular Operating Co., LLC bank term loan FRN Ser. B, 5.4618s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>598,485 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;606,714 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Consolidated Communications Holdings bank term loan FRN Ser. C, 5.6633s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>49,375 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;49,622 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Consolidated Communications Holdings bank term loan FRN Ser. D, 5.064s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>45,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;45,225 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Fairpoint Communications, Inc. bank term loan FRN Ser. B, 5.1725s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,000,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,009,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PanAmSat Corp. bank term loan FRN Ser. B1, 5.31s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>979,398 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;993,762 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Qwest Communications International, Inc. bank term loan FRN Ser. A, 7.39s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>78,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;80,303 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">SBA Communications Corp. bank term loan FRN Ser. C, 5.549s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,194,097 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,200,068 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Syniverse Holdings, Inc. bank term loan FRN Ser. B, 5.0589s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>748,120 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;748,120 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Valor Telecommunications Enterprises LLC/Finance Corp. bank term loan FRN Ser. B, 5.0747s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,980,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,002,584 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;6,736,148 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Consumer Cyclicals (1.8%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Adams Outdoor Advertising, LP bank term loan FRN Ser. B, 5.15s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>598,500 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;605,483 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Boise Cascade Corp. bank term loan FRN Ser. D, 4.9688s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>393,333 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;398,031 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Borgata Resorts bank term loan FRN Ser. B, 4.9859s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>398,998 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;400,826 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Coinmach Corp. bank term loan FRN Ser. B, 6 1/8s, 2009 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>141,049 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;142,636 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. B, 5 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>381,417 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;380,344 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. C, 5 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>613,583 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;611,858 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Custom Building Products bank term loan FRN Ser. B, 5.37s, 2011 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>349,125 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;350,434 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B, 4.7784s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>152,828 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;153,889 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Goodyear Tire &amp; Rubber Co. (The) bank term loan FRN 5.89s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>195,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;194,582 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hayes Lemmerz International, Inc. bank term loan FRN 6.4926s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>142,249 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;143,138 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jostens IH Corp. bank term loan FRN Ser. C, 5.19s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>970,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;982,933 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Journal Register Co. bank term loan FRN Ser. B, 4.6613s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;501,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Lamar Media Corp. bank term loan FRN Ser. D, 5.0622s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>162,148 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;163,689 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Landsource, Inc. bank term loan FRN Ser. B, 5 5/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>50,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;50,063 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Masonite International Corp. bank term loan FRN Ser. B, 5.2085s, 2013 (Canada) </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>550,468 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;549,245 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Masonite International Corp. bank term loan FRN 5.2085s, 2013 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>549,532 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;548,311 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Movie Gallery, Inc. bank term loan FRN Ser. B, 6.14s, 2011 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>450,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;454,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Penn National Gaming, Inc. bank term loan FRN Ser. B, 5.12s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>200,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;202,679 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PRIMEDIA, Inc. bank term loan FRN Ser. B, 5 7/8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>109,575 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;109,483 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 4.8023s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>214,201 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;216,142 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Raycom Media, Inc. bank term loan FRN Ser. B, 5 1/8s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,300,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,306,500 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Resorts International Hotel and Casino, Inc. bank term loan FRN Ser. B, 5.56s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>539,985 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;546,465 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sealy Mattress Co. bank term loan FRN Ser. D, 5.0005s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>562,767 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;564,877 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">TransWestern Publishing/TWP Cap bank term loan FRN Ser. B, 5.464s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>958,147 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;960,244 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN Ser. B, 5.59s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>175,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;176,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN Ser. DD, 5.62s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>175,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;176,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">TRW Automotive, Inc. bank term loan FRN Ser. B, 4 3/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>522,841 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;523,868 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Venetian Casino Resort, LLC bank term loan FRN Ser. B, 4.81s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,310,969 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,322,908 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Venetian Casino Resort, LLC bank term loan FRN Ser. DD, 4.314s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>270,303 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;271,992 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">William Carter Holding Co. (The) bank term loan FRN Ser. B, 4.87s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;101,250 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">WRC Media Corp. bank term loan FRN 8.0644s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>165,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;164,588 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;13,275,708 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Consumer Staples (1.9%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Affinity Group Holdings bank term loan FRN Ser. B1, 6.1842s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>34,240 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;34,496 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Affinity Group Holdings bank term loan FRN Ser. B2, 6.12s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>85,599 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;86,241 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AMF Bowling Worldwide bank term loan FRN Ser. B, 6.1484s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>104,752 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;105,210 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Century Cable Holdings bank term loan FRN 8s, 2009 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>900,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;889,071 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Charter PLC bank term loan FRN Ser. B, 6.4398s, 2011 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>684,217 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;679,329 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Constellation Brands, Inc. bank term loan FRN Ser. B, 4.9913s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,661,667 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,676,206 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DirecTV Holdings, LLC bank term loan FRN Ser. B, 4.59s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>733,333 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;735,472 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dole Food Co., Inc. bank term loan FRN Ser. B, 5.4367s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>246,258 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;247,797 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 5 3/4s, 2009 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>69,125 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;69,764 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Jack-in-the-Box, Inc. bank term loan FRN 4.8491s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>199,495 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;201,241 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Loews Cineplex Entertainment Corp. bank term loan FRN Ser. B, 5.4137s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>850,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;851,948 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mediacom Communications Corp. bank term loan FRN Ser. B, 5.2607s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>995,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,004,173 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MGM Studios, Inc. bank term loan FRN Ser. B, 5.38s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>900,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;902,588 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 7 3/4s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;493,661 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pinnacle Foods Holding Corp. bank term loan FRN 6.3489s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>748,106 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;750,444 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Regal Cinemas, Inc. bank term loan FRN Ser. B, 4.8425s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,492,443 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,504,259 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Roundy's bank term loan FRN Ser. B, 5.0753s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>118,148 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;119,034 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Six Flags, Inc. bank term loan FRN Ser. B, 5.8897s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>433,155 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;437,576 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Spectrum Brands, Inc. bank term loan FRN Ser. B, 5.1436s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>798,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;806,313 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sun Media Corp. bank term loan FRN Ser. B, 5.19s, 2009 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>152,041 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;153,625 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Universal City Development bank term loan FRN Ser. B, 5.2221s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,042,755 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,051,444 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Warner Music Group bank term loan FRN Ser. B, 4.9267s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>346,979 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;348,930 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Young Broadcasting, Inc. bank term loan FRN Ser. B, 5.6381s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;352,917 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;13,501,739 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Energy (0.1%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dresser, Inc. bank term loan FRN 6.91s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>180,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;183,150 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Kerr-McGee Corp. bank term loan FRN Ser. B, 5.79s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>300,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;304,417 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Universal Compression, Inc. bank term loan FRN Ser. B, 4.85s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>199,500 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;201,807 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;689,374 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Financial (0.4%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Fidelity National Information Solutions bank term loan FRN Ser. B, 4.84s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,845,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,836,352 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">General Growth Properties, Inc. bank term loan FRN Ser. B, 5.34s, 2008 (R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>895,736 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;901,937 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hilb, Rogal &amp; Hamilton Co. bank term loan FRN Ser. B, 5 3/8s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>216,301 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;217,788 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;2,956,077 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Health Care (0.5%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Alderwoods Group, Inc. bank term loan FRN 5.2763s, 2009 (Canada)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>250,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;252,813 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Beverly Enterprises, Inc. bank term loan FRN 5.6486s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>122,813 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;123,120 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Community Health Systems, Inc. bank term loan FRN Ser. B, 4.64s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>318,597 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;321,717 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Concentra bank term loan FRN 6.0085s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>181,235 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;182,594 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DaVita, Inc. bank term loan FRN Ser. B, 5.37s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>600,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;607,313 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Express Scripts, Inc. bank term loan FRN Ser. B, 4.7679s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>485,542 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B>489,183 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Fisher Scientific International, Inc. bank term loan FRN Ser. B, 4.5925s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>118,800 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;119,580 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Hanger Orthopedic Group, Inc. bank term loan FRN 6.5925s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>98,250 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;98,987 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Kinetic Concepts, Inc. bank term loan FRN Ser. B, 4.85s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>84,971 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;85,714 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">LifePoint, Inc. bank term loan FRN Ser. B, 4.715s, 2012 </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>693,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;693,173 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PacifiCare Health System, Inc. bank term loan FRN Ser. B, 4.5365s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>249,373 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;250,049 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Veterinary Centers of America bank term loan FRN Ser. B, 4 3/4s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>150,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;150,375 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;3,374,618 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Technology (0.3%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AMI Semiconductor, Inc. bank term loan FRN 4.5813s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>498,750 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;500,620 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Seagate Technology Hdd Holdings bank term loan FRN 5 1/8s, 2007 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>602,461 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;608,987 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Seagate Technology Hdd Holdings bank term loan FRN Ser. B, 5 1/8s, 2007 (Cayman Islands) </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>240,967 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;243,578 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">UGS Corp. bank term loan FRN Ser. C, 5.09s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>482,759 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;486,983 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Xerox Corp. bank term loan FRN 4.82s, 2008</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>200,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;201,333 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;2,041,501 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Transportation (0.0%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Pacer International, Inc. bank term loan FRN 5.2297s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>106,235 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;107,032 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Utilities &amp; Power (0.3%)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">El Paso Corp. bank term loan FRN Ser. B, 5 7/8s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>787,436 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;791,865 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">El Paso Corp. bank term loan FRN Ser. C, 5.62s, 2009</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>208,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;209,040 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Texas Genco Holdings, Inc. bank term loan FRN Ser. DD, 5.06s, 2011</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>698,250 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;707,560 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Williams Cos., Inc. (The) bank term loan FRN Ser. C, 5.59s, 2007</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>117,609 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;118,638 </P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;1,827,103 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total senior loans (cost $55,504,100)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$55,484,644 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>COLLATERALIZED MORTGAGE OBLIGATIONS (4.7%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Banc of America Commercial Mortgage, Inc. Ser. 01-1, Class G, 7.324s, 2036</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$325,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$364,724 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Banc of America Commercial Mortgage, Inc. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-1, Class J, 6 1/8s, 2036</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>163,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;163,169 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-1, Class K, 6 1/8s, 2036</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>367,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;280,866 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Banc of America Large Loan 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 02-FL2A, Class L1, 6.16s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>141,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;141,008 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRN Ser. 02-FL2A, Class K1, 5.66s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;100,234 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 05-BOCA, Class M, 5.32s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>250,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;251,230 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 05-BOCA, Class L, 4.92s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>183,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;183,644 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 05-BOCA, Class K, 4.57s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>100,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;100,353 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2, Class F, 8.453s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>410,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;489,985 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Bear Stearns Commercial Mortgage Securitization Corp. 144A Ser. 04-ESA, Class K, 5.716s, 2016</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>350,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;350,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Broadgate Financing PLC FRB Ser. D, 5.766s, 2023 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>472,625 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;844,752 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Commercial Mortgage Pass-Through Certificates 144A Ser. 01-FL4A, Class D, 4.07s, 2013</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$746,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;746,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">CS First Boston Mortgage Securities Corp. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 03-TF2A, Class L, 7.22s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>356,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;354,970 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 98-C1, Class F, 6s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>966,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;789,871 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-CP5, Class M, 5 1/4s, 2035</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>354,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;271,199 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 05-TFLA, Class L, 5.07s, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>699,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;698,998 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRB Ser. 05-TFLA, Class K, 4.52s, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>186,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;185,999 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.061s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>21,772,891 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;494,993 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DLJ Commercial Mortgage Corp.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 98-CF2, Class B4, 6.04s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>286,492 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;287,808 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 98-CF2, Class B5, 5.95s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>915,958 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;661,399 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">DLJ Mortgage Acceptance Corp. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 97-CF1, Class B2, 8.16s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>275,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;165,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 97-CF1, Class B1, 7.91s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>266,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;283,691 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">European Loan Conduit 144A FRN Ser. 6A, Class F, 7.183s, 2010 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>134,464 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;243,878 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">European Loan Conduit FRN Ser. 6X, Class E, 6.683s, 2010 (Luxembourg)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;376,499 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;681,172 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Fannie Mae</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 98-51, Class SG, IO, 24.12s, 2022</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>$100,844 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;50,084 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">IFB Ser. 02-36, Class SJ, 11.839s, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>278,686 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;288,163 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-W8, Class 3A, 7 1/2s, 2044</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>599,056 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;643,234 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-T2, Class 1A4, 7 1/2s, 2043</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>496,083 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;533,358 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W4, Class 4A, 7 1/2s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>168,146 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;179,472 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W3, Class 1A3, 7 1/2s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>346,810 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;371,181 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W2, Class 1A3, 7 1/2s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,662 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;8,204 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-W1, Class 2A, 7 1/2s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>896 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;952 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-14, Class A2, 7 1/2s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,281 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,506 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T10, Class A2, 7 1/2s, 2041</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>429,414 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;457,861 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-T4, Class A3, 7 1/2s, 2041</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,048 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,185 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T8, Class A1, 7 1/2s, 2041</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>5,581 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;5,942 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T7, Class A1, 7 1/2s, 2041</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,688,370 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,795,758 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T3, Class A1, 7 1/2s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>254,278 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;270,610 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T1, Class A1, 7 1/2s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>788,194 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;840,845 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-T2, Class A1, 7 1/2s, 2039</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>324,640 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;347,142 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-T6, Class A1, 7 1/2s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>159,290 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;169,422 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-W7, Class A5, 7 1/2s, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>281,245 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;300,860 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-T4, Class A1, 7 1/2s, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>754,929 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;811,097 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-W3, Class A5, 7 1/2s, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,758 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,879 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-58, Class ID, IO, 6s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>784,850 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;121,181 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-26, Class IG, IO, 6s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>689,236 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;89,624 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 322, Class 2, IO, 6s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>625,162 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;103,235 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 318, Class 2, IO, 6s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>783,058 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;129,065 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 350, Class 2, IO, 5 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,182,997 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;375,527 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 338, Class 2, IO, 5 1/2s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>5,096,003 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;895,640 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 333, Class 2, IO, 5 1/2s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,208,793 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;389,202 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 329, Class 2, IO, 5 1/2s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,494,739 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;787,971 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-37, Class IC, IO, 5 1/2s, 2027</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,188,693 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;185,012 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-6, Class IB, IO, 5 1/2s, 2022</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>164,178 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,080 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-118, Class S, IO, 4.786s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,079,757 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;107,301 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">IFB Ser. 02-36, Class QH, IO, 4.736s, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>603,815 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;17,766 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W10, Class 1A, IO, 1.468s, 2043</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>6,368,710 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;123,394 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W10, Class 3A, IO, 1.448s, 2043</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,592,697 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;156,599 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-W17, Class 12, IO, 1.156s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,206,422 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;119,574 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 02-T18, IO, 0.521s, 2042</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>11,854,472 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;140,895 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-51, Class N, PO, zero %, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>119,819 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;102,651 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 99-52, Class MO, PO, zero %, 2026</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>36,188 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;34,699 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Federal Home Loan Mortgage Corp. Structured Pass-Through Securities</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. T-58, Class 4A, 7 1/2s, 2043</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>10,534 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;11,249 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. T-41, Class 3A, 7 1/2s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>260,669 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;277,750 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. T-57, Class 1AX, IO, 0.448s, 2043</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,047,177 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;39,063 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.511s, 2020</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>10,531,150 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;679,175 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Freddie Mac</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">IFB Ser. 2763, Class SC, 15.72s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>466,201 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;531,021 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 216, IO, 6s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,421,221 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;386,962 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 226, IO, 5 1/2s, 2034</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,752,223 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;315,285 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 2515, Class IG, IO, 5 1/2s, 2032</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,418,300 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;277,514 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 2626, Class IK, IO, 5 1/2s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>677,653 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;98,002 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 2590, Class IH, IO, 5 1/2s, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>729,500 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;113,073 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 2833, Class IK, IO, 5 1/2s, 2023</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>503,008 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;56,890 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 215, PO, zero %, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>254,608 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;231,835 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 2235, PO, zero %, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>261,966 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;229,629 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">GE Capital Commercial Mortgage Corp. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-1, Class G, 6.131s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>596,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;548,962 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 00-1, Class H, 6.131s, 2033</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>370,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;238,751 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>529,968 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;428,969 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Government National Mortgage Association</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 01-43, Class SJ, IO, 4.34s, 2029</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>79,473 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;273 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 98-2, Class EA, PO, zero %, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>123,903 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;106,014 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 6.47s, 2015</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>214,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;215,204 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>253,101 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;246,654 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB Ser. 03-LLFA, Class L, 6.966s, 2014</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>876,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;850,506 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mach One Commercial Mortgage Trust 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class J, 5.45s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>594,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;500,213 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class K, 5.45s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>212,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;176,515 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class L, 5.45s, 2040</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>96,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;71,734 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.53s, 2028</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>7,984,519 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;325,619 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, Class X, IO, 8.054s, 2037</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,021,154 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;434,509 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Morgan Stanley Capital I 144A Ser. 04-RR, Class F7, 6s, 2039</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,730,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,249,008 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.465s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,622,287 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;74,093 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mortgage Capital Funding, Inc. FRB Ser. 98-MC2, Class E, 7.263s, 2030</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>327,112 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;351,015 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Permanent Financing PLC FRB Ser. 8, Class 2C, 3.818s, 2042 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>500,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;500,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2010</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>123,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;118,236 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Quick Star PLC FRN Class 1-D, 5.831s, 2011 (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>GBP</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>447,192 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;801,458 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">QUIZNOS 144A Ser. 05-1, 7.3s, 2025</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$711,657 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;714,186 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">STRIPS 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>162,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;137,162 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>193,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;147,259 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>174,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;147,322 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>167,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;129,021 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Titan Europe PLC 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRN Ser. 04-2A, Class D, 3.044s, 2014 (Ireland)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>398,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;481,779 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; text-indent:5pt; font-family:Arial">FRN Ser. 04-2A, Class C, 2.634s, 2014 (Ireland)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>EUR</P>
</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>497,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;601,619 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 6.52s, 2018</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$477,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;472,297 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total collateralized mortgage obligations (cost $35,396,276)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$33,412,940 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>BRADY BONDS (0.9%)(a) (cost $5,609,255)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Brazil (Federal Republic of) FRB Ser. 18 YR, 4.313s, 2012</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$6,374,200 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$6,127,518 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;&nbsp;</B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>PREFERRED STOCKS (0.1%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Shares</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dobson Communications Corp. 13.00% Class A pfd.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>15 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$15,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">First Republic Capital Corp. 144A 10.50% pfd.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>320 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;336,000 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Paxson Communications Corp. 14.25% cum. pfd. (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>34 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;219,300 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Rural Cellular Corp. Ser. B, 11.375% Class A cum. pfd.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>426 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;391,920 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total preferred stocks (cost $1,044,708)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$962,220 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>UNITS (0.1%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Units</P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Morrison Knudsen Corp. </P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>870,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$78,300 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">XCL Equity Units (F)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>991 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;675,285 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total units (cost $1,725,164)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$753,585 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>COMMON STOCKS (0.1%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Shares</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AboveNet, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,987 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$55,636 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AMRESCO Creditor Trust (acquired 6/17/99 and 2/10/00, cost $59,717) (F)(RES)(NON)(R)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>820,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;820 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Birch Telecom, Inc. (F)(NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>898 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Comdisco Holding Co., Inc.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>504 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;8,316 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Contifinancial Corp. Liquidating Trust Units</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,445,121 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,306 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Covad Communications Group, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>15,321 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;21,449 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Crown Castle International Corp. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>497 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;10,099 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Genesis HealthCare Corp. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>903 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;41,791 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">iPCS Escrow, Inc. (F)(NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>470,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;470 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Knology, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>199 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;388 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Northwestern Corp.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,774 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;118,956 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sterling Chemicals, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>110 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,850 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Sun Healthcare Group, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>740 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4,736 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">USA Mobility, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>12 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;352 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">VFB LLC (acquired 10/27/00, cost $594,553) (RES)(NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>948,004 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;194,341 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Washington Group International, Inc. (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>4,438 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;226,871 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total common stocks (cost $5,063,434)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$692,382 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>CONVERTIBLE PREFERRED STOCKS (0.0%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Shares</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,441 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$99,776 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>57 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;216,600 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total convertible preferred stocks (cost $560,951)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$316,376 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>WARRANTS (0.0%)(a)(NON)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>Expiration date</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Warrants</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AboveNet, Inc.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>9/08/08</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>719 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$3,595 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">AboveNet, Inc.</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>9/08/10</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>846 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;846 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Dayton Superior Corp. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>6/15/09</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,020 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">MDP Acquisitions PLC 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>10/01/13</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>508 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;14,224 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Mikohn Gaming Corp. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>8/15/08</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>390 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;11,170 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">ONO Finance PLC 144A (United Kingdom)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>2/15/11</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>400 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;4 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">TravelCenters of America, Inc. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>5/01/09</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,830 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;2,288 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Ubiquitel, Inc. 144A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>4/15/10</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,670 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Washington Group International, Inc. Ser. A</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>1/25/06</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>2,740 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;63,020 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Washington Group International, Inc. Ser. B</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>1/25/06</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>3,131 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;62,620 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Washington Group International, Inc. Ser. C</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>1/25/06</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>1,692 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;30,456 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total warrants (cost $420,994)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$188,225 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>CONVERTIBLE BONDS AND NOTES (0.0%)(a) (cost $2,018,410)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount</P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes 13s, 2009 (Canada) (In default) (NON)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$2,430,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$24 </B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;&nbsp;</B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial"><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>SHORT-TERM INVESTMENTS (13.0%)(a)</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>Principal amount/shares</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial; font-size:8pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial; font-size:8pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial; font-size:8pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial; font-size:8pt" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial; font-size:8pt" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial; font-size:8pt" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial; font-size:8pt" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">U.S. Treasury Bills for an effective yield of 1.04 %, August 4, 2005 (SEG)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$913,000 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;910,404 </P>
</TD></TR>
<TR><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">Putnam Prime Money Market Fund (e)</P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>92,190,273 </P>
</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;92,190,273 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total short-term investments (cost $93,100,677)</B></P>
</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$93,100,677 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
<TR><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>TOTAL INVESTMENTS</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-top:0.5pt solid #000000; border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=18.133><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><A NAME="RANGE!F1043"></A><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=437.267><P style="margin:0pt; font-family:Arial"><B>Total investments (cost $757,849,057) (b)</B></P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=18.133><P style="margin:0pt; font-family:Arial" align=center><B>&nbsp;</B></P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.933><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.467><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;</B></P>
</TD><A NAME="RANGE!K1043"></A><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.133><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$754,284,946 </B></P>
</TD></TR>
<TR><TD width=18.133>&nbsp;</TD><TD valign=bottom width=437.267>&nbsp;</TD><TD valign=bottom width=18.133>&nbsp;</TD><TD valign=bottom width=75.933>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=111.467>&nbsp;</TD><TD valign=bottom width=111.133>&nbsp;</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<A NAME="RANGE!D2:H20"></A><TABLE style="font-size:10pt" cellspacing=0><TR><TD valign=bottom width=470.667 colspan=2><P style="margin:0pt; line-height:20pt; font-family:Arial; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD width=774.667 colspan=5><P style="margin:0pt; font-family:Arial"><B>FORWARD CURRENCY CONTRACTS TO BUY at 6/30/05 (aggregate face value $87,020,225) (Unaudited)</B></P>
</TD></TR>
<TR><TD width=358.8>&nbsp;</TD><TD valign=bottom width=111.867>&nbsp;</TD><TD width=117.333>&nbsp;</TD><TD width=73.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>Unrealized</P>
</TD></TR>
<TR><TD width=358.8>&nbsp;</TD><TD width=111.867>&nbsp;</TD><TD width=117.333><P style="margin:0pt; font-family:Arial" align=right>Aggregate </P>
</TD><TD width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;Delivery</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>appreciation/</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=358.8><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=111.867><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=117.333><P style="margin:0pt; font-family:Arial" align=right>face value</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;date</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(depreciation)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8>&nbsp;</TD><TD valign=bottom width=111.867>&nbsp;</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Australian Dollar &nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$39,332,317 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$39,501,342 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>7/20/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(169,025)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">British Pound &nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>12,880,700 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>13,051,389 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(170,689)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Canadian Dollar &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>2,829,962 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>2,747,445 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>7/20/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$82,517 </P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Danish Krone &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>1,143,722 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>1,161,932 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(18,210)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Euro &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>5,337,492 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>5,366,493 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(29,001)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Japanese Yen &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>15,711,670 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>16,485,605 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>8/17/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(773,935)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Norwegian Krone &nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>2,228,231 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>2,274,320 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(46,089)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Polish Zloty</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>536,335 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>537,478 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(1,143)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">South Korean Won &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>14,630 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>15,107 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>8/17/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(477)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Swiss Franc &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>3,889,602 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>3,959,811 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(70,209)</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">Taiwan Dollar &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>1,875,590 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>1,919,303 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>8/17/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(43,713)</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=358.8><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=111.867><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=358.8><P style="margin:0pt; font-family:Arial"><B>Total forward currency contracts to buy</B></P>
</TD><TD valign=bottom width=111.867>&nbsp;</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$(1,239,974)</B></P>
</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<A NAME="RANGE!D2:H19"></A><TABLE style="font-size:10pt" cellspacing=0><TR><TD valign=bottom width=548 colspan=2><P style="margin:0pt; line-height:20pt; font-family:Arial; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD width=738.667 colspan=4><P style="margin:0pt; font-family:Arial"><B>FORWARD CURRENCY CONTRACTS TO SELL at 6/30/05 (aggregate face value $139,576,450) (Unaudited)</B></P>
</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD width=426.733>&nbsp;</TD><TD valign=bottom width=121.267>&nbsp;</TD><TD width=117.333>&nbsp;</TD><TD width=73.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>Unrealized</P>
</TD></TR>
<TR><TD width=426.733>&nbsp;</TD><TD width=121.267>&nbsp;</TD><TD width=117.333><P style="margin:0pt; font-family:Arial" align=right>Aggregate </P>
</TD><TD width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;Delivery</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>appreciation/</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" width=426.733><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=121.267><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=117.333><P style="margin:0pt; font-family:Arial" align=right>face value</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;date</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(depreciation)</P>
</TD></TR>
<TR><TD valign=bottom width=426.733>&nbsp;</TD><TD valign=bottom width=121.267>&nbsp;</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Australian Dollar &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$3,800,717 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$3,793,296 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>7/20/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(7,421)</P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">British Pound &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>7,582,176 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>7,697,236 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>115,060 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Canadian Dollar &nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>25,467,004 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>25,226,556 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>7/20/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(240,448)</P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Euro </P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>71,989,718 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>72,813,026 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>823,308 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Japanese Yen &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>5,347,560 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>5,441,215 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>8/17/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>93,655 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">New Zealand Dollar &nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>7,223 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>7,593 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>7/20/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>370 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Singapore Dollar &nbsp;&nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>25,889 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>25,898 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>8/17/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>9 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Swedish Krona </P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>18,327,436 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>19,146,222 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>818,786 </P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">Swiss Franc &nbsp;</P>
</TD><TD valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>5,382,793 </P>
</TD><TD valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>5,425,408 </P>
</TD><TD valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>9/21/05</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>42,615 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=426.733><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=121.267><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=117.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=73.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=426.733><P style="margin:0pt; font-family:Arial"><B>Total forward currency contracts to sell</B></P>
</TD><TD valign=bottom width=121.267>&nbsp;</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$1,645,934 </B></P>
</TD></TR>
<TR><TD valign=bottom width=426.733>&nbsp;</TD><TD valign=bottom width=121.267>&nbsp;</TD><TD valign=bottom width=117.333>&nbsp;</TD><TD valign=bottom width=73.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<TABLE style="font-size:10pt" cellspacing=0><TR><TD valign=bottom width=545.333 colspan=2><P style="margin:0pt; line-height:20pt; font-family:Arial; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD valign=bottom width=129.333>&nbsp;</TD><TD valign=bottom width=86.667>&nbsp;</TD><TD valign=bottom width=124>&nbsp;</TD></TR>
<TR><TD width=469.933><P style="margin:0pt; font-family:Arial"><B>FUTURES CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)</B></P>
</TD><TD width=75.4>&nbsp;</TD><TD width=129.333>&nbsp;</TD><TD width=86.667>&nbsp;</TD><TD width=124>&nbsp;</TD></TR>
<TR><TD valign=bottom width=469.933>&nbsp;</TD><TD valign=bottom width=75.4>&nbsp;</TD><TD valign=bottom width=129.333>&nbsp;</TD><TD valign=bottom width=86.667>&nbsp;</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>Unrealized</P>
</TD></TR>
<TR><TD valign=bottom width=469.933>&nbsp;</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>Number of </P>
</TD><TD valign=bottom width=129.333>&nbsp;</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Expiration</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>appreciation/</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=469.933><P style="margin:0pt; font-family:Arial" align=center>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>contracts</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>Value</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>date</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>(depreciation)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933>&nbsp;</TD><TD valign=bottom width=75.4>&nbsp;</TD><TD valign=bottom width=129.333>&nbsp;</TD><TD valign=bottom width=86.667>&nbsp;</TD><TD valign=bottom width=124>&nbsp;</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Euro 90 day (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>328</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$78,843,000 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;$(79,880)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Euro 90 day (Short)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>328</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;78,744,600 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Dec-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;76,658 </P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Euro-Bobl 5 yr (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>109</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;15,258,062 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;86,754 </P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Euro-Bund 10 yr (Short)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>203</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;30,347,840 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;(241,992)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Interest Rate Swap 10 yr (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>15</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,693,125 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,832 </P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Japanese Government Bond 10 yr - TSE (Short)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>8</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;10,195,866 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;(29,909)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">Japanese Government Bond 10 yr Mini (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>31</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;3,952,857 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;13,039 </P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">U.K. Gilt (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>9</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;1,841,539 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;18,198 </P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">U.S. Treasury Bond (Short)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>4</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;475,000 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;(9,356)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">U.S. Treasury Note 10 yr (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>357</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;40,508,344 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;(116,999)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">U.S. Treasury Note 2 yr (Short)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>71</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;14,745,813 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;(14,456)</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">U.S. Treasury Note 5 yr (Long)</P>
</TD><TD valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>242</P>
</TD><TD valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;26,351,531 </P>
</TD><TD valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>Sep-05</P>
</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;101,534 </P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=469.933><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=75.4><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=129.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=86.667><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=469.933><P style="margin:0pt; font-family:Arial"><B>Total futures contracts outstanding</B></P>
</TD><TD valign=bottom width=75.4>&nbsp;</TD><TD valign=bottom width=129.333>&nbsp;</TD><TD valign=bottom width=86.667>&nbsp;</TD><TD valign=bottom width=124><P style="margin:0pt; font-family:Arial" align=right><B>&nbsp;$(194,577)</B></P>
</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<TABLE style="font-size:10pt" cellspacing=0><TR><TD style="border-bottom:0.5pt solid #000000" width=465.133 colspan=2><P style="margin:0pt; line-height:20pt; font-family:Arial; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=126.067><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=98.467><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=117><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117>&nbsp;</TD></TR>
<TR><TD width=591.2 colspan=3><P style="margin:0pt; font-family:Arial"><B>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)</B></P>
</TD><TD width=98.467>&nbsp;</TD><TD width=117>&nbsp;</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>Unrealized</P>
</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>Notional</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>Termination</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>appreciation/</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>date</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(depreciation)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117>&nbsp;</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Merrill Lynch Capital Services, Inc. dated November 17, 2000 to pay semi-annually the notional amount multiplied by the three month USD-LIBOR-BBA and receive the notional amount multiplied by 6.68%.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>$6,500,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>11/21/05</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>$98,036</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Merrill Lynch Capital Services, Inc. dated September 27, 2002 to receive semi-annually the notional amount multiplied by the six month JPY-LIBOR-BBA and pay semi-annually the notional amount multiplied by 0.399%.</P>
</TD><TD style="background-color:#FFFFFF" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">JPY</P>
</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>19,863,403</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>10/1/07</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(145,041)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Merrill Lynch Capital Services, Inc. dated June 9, 2005 to pay semi-annually the notional amount multiplied by the six month JPY-LIBOR-BBA and receive semi-annually the notional amount multiplied by 1.7275%.</P>
</TD><TD style="background-color:#FFFFFF" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">JPY</P>
</TD><TD style="background-color:#FFFFFF" valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>13,832,534</P>
</TD><TD style="background-color:#FFFFFF" valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>6/14/20</P>
</TD><TD style="background-color:#FFFFFF" valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>10,624 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. dated December 2, 2003 to pay semi-annually the notional amount multiplied by 2.444% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>$6,270,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>12/5/05</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>36,938 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.35% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>4,400,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>1/27/14</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(73,168)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 1.97375% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>13,900,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>1/26/06</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>103,220 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. dated March 25, 2004 to pay semi-annually the notional amount multiplied by 3.075% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>16,800,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>3/30/09</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>455,090 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. dated December 9, 2003 to receive semi-annually the notional amount multiplied by 4.641% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>9,188,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>12/15/13</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>241,909 </P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Credit Suisse First Boston dated May 18, 2005 to pay semi-annually the notional amount multiplied by 4.6325% and receive quarterly the notional amount multiplied by the three month GBP-LIBOR-BBA.</P>
</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">GBP</P>
</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>44,020,800</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>5/18/07</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(195,885)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Credit Suisse First Boston International dated July 7, 2004 to receive semi-annually the notional amount multiplied by 2.931% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>$5,048,700</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>7/9/06</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(14,039)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Credit Suisse First Boston International dated July 7, 2004 to pay semi-annually the notional amount multiplied by 4.945% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>5,699,500</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>7/9/14</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(359,754)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to pay semi-annually the notional amount multiplied by 4.0825% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>134,000,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>6/17/07</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(281,748)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to receive semi-annually the notional amount multiplied by 4.5505% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>30,000,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>6/17/15</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>561,693 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Merrill Lynch Capital Services, Inc. dated February 16, 2005 to receive semi-annually the notional amount multiplied by the six month EURIBOR and pay annually the notional amount multiplied by 2.5645%.</P>
</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">EUR</P>
</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>59,061,170</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>2/19/07</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(121,390)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with UBS AG dated April 25, 2005 to receive annually the notional amount multiplied by 2.453% and pay semi-annually the notional amount multiplied by the six month EUR-EURIBOR-Telerate.</P>
</TD><TD valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">EUR</P>
</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>96,966,100</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>4/27/07</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(838,498)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.3375% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>$4,400,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>1/26/14</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>(75,021)</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 1.955% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.</P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>13,900,000</P>
</TD><TD valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>1/26/06</P>
</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>104,884 </P>
</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117>&nbsp;</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=422.533><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=42.6><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=126.067><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=98.467><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=422.533><P style="margin:0pt; font-family:Arial"><B>Total interest rate swap contracts outstanding</B></P>
</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117><P style="margin:0pt; font-family:Arial" align=right><B>($492,150)</B></P>
</TD></TR>
<TR><TD valign=bottom width=422.533>&nbsp;</TD><TD valign=bottom width=42.6>&nbsp;</TD><TD valign=bottom width=126.067>&nbsp;</TD><TD valign=bottom width=98.467>&nbsp;</TD><TD valign=bottom width=117>&nbsp;</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<A NAME="RANGE!D3:H46"></A><TABLE style="font-size:10pt" cellspacing=0><TR><TD style="border-bottom:0.5pt solid #000000" width=588><P style="margin:0pt; line-height:20pt; font-family:Arial; font-size:18pt">Putnam Master Intermediate Income Trust</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=26.667><P style="margin:0pt; font-family:Arial; font-size:18pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" width=64><P style="margin:0pt; font-family:Arial; font-size:18pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=101.333><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD width=588><P style="margin:0pt; font-family:Arial"><B>CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)</B></P>
</TD><TD width=26.667>&nbsp;</TD><TD width=64>&nbsp;</TD><TD width=101.333>&nbsp;</TD><TD width=113.333>&nbsp;</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>Unrealized</P>
</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>Notional</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>appreciation/</P>
</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=588><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=26.667><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=64><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>amount</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(depreciation)</P>
</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>4,529,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>$240,476 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>22,645,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(243,653)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Morgan Stanley Capital Services, Inc. effective June 23, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive <B>quarterly</B> 660 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,459,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(50,047)</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Merrill Lynch International effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,089,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>3,434 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Citigroup Financial Products, Inc. effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,400,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>83,040 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Citigroup Financial Products, Inc. effective April 28, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 201 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,400,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>104,538 </P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 677.5 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,440,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(20,279)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,415,600</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(20,240)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Citigroup Financial Products, Inc. effective June 14, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 619 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,470,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(73,043)</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Deutsche Bank AG effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund make a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,400,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>78,469 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,116,444 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>26,434 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.4625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>558,222 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>24,991 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.475% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>279,111 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>8,750 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.6% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>139,556 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>1,385 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.5% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>139,556 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>8,452 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.35% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,116,444 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>53,724 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.433% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>418,667 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>17,542 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective April 1, 2005, maturing on December 20, 2009, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 138 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index 25-35% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>933,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>26,312 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>891,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(3,734)</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>845,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>45,238 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>990,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>1,959 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Bank of America, N.A. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,881,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>6,001 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. effective April 18, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 194 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>500,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>21,125 </P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. effective June 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>1,455,300</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(5,108)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. effective June 17, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,415,600</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(5,533)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with JPMorgan Chase Bank, N.A. effective June 22, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive pay 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,441,340</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>$512 </P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with JPMorgan Chase Bank, N.A. effective June 23, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,434,410</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(8,605)</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>4,225,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(52,891)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective June 17, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 640 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,440,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(92,631)</P>
</TD></TR>
<TR><TD style="background-color:#FFFFFF" valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Goldman Sachs Capital Markets, L.P. effective June 22, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 656 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>2,466,000</P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>(66,607)</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. effective March 24, 2005, maturing on December 20, 2009, to receive quarterly 116 basis points times the notional amount. &nbsp;Upon a credit default event of any reference entity within the DJ IG CDX Series 3 Index that the counterparties agree advances within the 25-35 Loss Basket of the Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX Series 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>933,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>19,852 </P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial">Agreement with Lehman Brothers Special Financing, Inc. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount. &nbsp;Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.</P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333><P style="margin:0pt; font-family:Arial" align=right>891,000 </P>
</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>3,330 </P>
</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=588><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=26.667><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=64><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=101.333><P style="margin:0pt; font-family:Arial; font-size:9pt">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=bottom width=588><P style="margin:0pt; font-family:Arial"><B>Total credit default contracts outstanding</B></P>
</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333><P style="margin:0pt; font-family:Arial" align=right><B>$133,193 </B></P>
</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
<TR><TD valign=bottom width=588>&nbsp;</TD><TD valign=bottom width=26.667>&nbsp;</TD><TD valign=bottom width=64>&nbsp;</TD><TD valign=bottom width=101.333>&nbsp;</TD><TD valign=bottom width=113.333>&nbsp;</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<TABLE style="font-size:10pt" cellspacing=0><TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">NOTES</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(a)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Percentages indicated are based on net assets of $716,729,230.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(b)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The aggregate identified cost on a tax basis is $759,924,141, resulting in gross unrealized appreciation and depreciation of $16,373,309 and $22,012,504, respectively, or net unrealized depreciation of $5,639,195.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(c)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Senior loans are exempt from registration under the Security Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. &nbsp;These loans pay interest at rates which adjust periodically. &nbsp;The interest rate shown for senior loans are the current interest rates at June 30, 2005. &nbsp;Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. &nbsp;As a result, the remaining maturity may be substantially less than the stated maturity shown.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(DEF)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Security is in default of principal and interest.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(NON)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Non-income-producing security.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(STP)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(RES)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at June 30, 2005 was $195,161 or less than 0.1% of net assets.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(PIK)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Income may be received in cash or additional securities at the discretion of the issuer.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(SEG)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at June 30, 2005.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(R)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Real Estate Investment Trust.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(e)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC (&quot;Putnam Management&quot;), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. &nbsp;Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. &nbsp;Income distributions earned by the fund totaled $2,177,924 for the period ended June 30, 2005. &nbsp;During the period ended June 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $335,284,176 and $341,267,011, respectively.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333><P style="margin:0pt; font-family:Arial">(F)</P>
</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Security is valued at fair value following procedures approved by the Trustees.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">At June 30, 2005, liquid assets totaling $105,689,557 have been designated as collateral for open forward commitments, open swap contracts and future contracts.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>TBA after the name of a security represents to be announced securities.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at June 30, 2005.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The rates shown on IFB, which are securities paying interest rates that vary inversely to changes in the market interest rates, are the current interest rates at June 30, 2005.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">DIVERSIFICATION BY COUNTRY</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>Distribution of investments by country of issue at June 30, 2005: (as a percentage of Portfolio Value)</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Brazil</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.9%</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Canada</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.6</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Cayman Islands</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.8</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">France</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>4.1</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Germany</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>2.7</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Ireland</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.7</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Luxembourg</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.5</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Mexico</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.4</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Peru</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>0.5</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Philippines</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>0.7</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Sweden</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.3</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">United Kingdom</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>1.8</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">United States</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>75.5</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Venezuela</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>0.6</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Other</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>2.9</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD style="border-bottom:0.5pt solid #000000" valign=top width=57.333><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=top width=593.333><P style="margin:0pt; font-family:Arial">&nbsp;</P>
</TD><TD style="border-bottom:0.5pt solid #000000" valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>&nbsp;</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Total</P>
</TD><TD valign=top width=101.333><P style="margin:0pt; font-family:Arial" align=right>100.0%</P>
</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial"><B>Security valuation </B>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. &nbsp;Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. &nbsp;Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. &nbsp;Many securities markets and 
exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. &nbsp;The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At June 30, 2005, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Other investments, including certain restricted securities, are 
valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify><B>Forward currency contracts</B> The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. &nbsp;These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). &nbsp;The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. &nbsp;The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. &nbsp;When
 the contract is closed, the fund records 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.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. &nbsp;Forward currency contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify><B>Futures and options contracts</B> The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase. &nbsp;The fund may also write options on securities it owns or in which it may invest to increase its current returns.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records 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. &nbsp;Realized gains and losses on purchased options are included in realized gains and losses on investment securities. &nbsp;If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. &nbsp;If
 a written put option is exercised, the premium originally received is recorded as a reduction to cost of investments.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial">Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. &nbsp;The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. &nbsp;Such receipts or payments are known as &#147;variation margin.&#148; &nbsp;Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. &nbsp;Options traded over-the-counter are valued using prices supplied by dealers. &nbsp;Futures and written option contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify><B>Interest rate swap contracts </B>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. &nbsp;Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. &nbsp;Payments received or made are recorded as realized gains or loss. &nbsp;The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. &nbsp;Risk of loss may exceed amounts recognized on the statement of assets and liabilities. &nbsp;Interest rate swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify><B>Credit default contracts </B>The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. &nbsp;An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Pa
yments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. </P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. &nbsp;Risks of loss may exceed amounts recognized on the statement of assets and liabilities. &nbsp;Credit default contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify><B>TBA purchase commitments </B>The fund may enter into &#147;TBA&#148; (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. &nbsp;Although the unit price has been established, the principal value has not been finalized. &nbsp;However, the amount of the commitments will not significantly differ from the principal amount. &nbsp;The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. &nbsp;Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, whic
h risk is in addition to the risk of decline in the value of the fund&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. &nbsp;The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333><P style="margin:0pt; font-family:Arial" align=justify>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</P>
</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
<TR><TD valign=top width=57.333>&nbsp;</TD><TD valign=top width=593.333>&nbsp;</TD><TD valign=top width=101.333>&nbsp;</TD></TR>
</TABLE>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Item 2. Controls and Procedures:</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">-----------------------------------------------</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">(a) The registrant's principal executive officer and principal </P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">financial officer have concluded, based on their evaluation of the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">effectiveness of the design and operation of the registrant's</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">disclosure controls and procedures as of a date within 90 days of</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">the filing date of this report, that the design and operation of </P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">such procedures are generally effective to provide reasonable </P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">assurance that information required to be disclosed by the registrant </P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">in this report is recorded, processed, summarized and reported within </P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">the time periods specified in the Commission's rules and forms.</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">(b) Changes in internal control over financial reporting:</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Not applicable</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Item 3. Exhibits:</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">----------------------</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">A separate certification for each principal executive officer and</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">principal financial officer of the registrant as required by Rule 30a-2</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">under the Investment Company Act of 1940, as amended, are filed herewith.</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">SIGNATURES</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Pursuant to the requirements of the Securities Exchange Act of 1934</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">and the Investment Company Act of 1940, the registrant has duly</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">caused this report to be signed on its behalf by the undersigned,</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">thereunto duly authorized.</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">NAME OF REGISTRANT</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin-top:0pt; margin-bottom:-14pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">By (Signature and Title):</P>
<P style="margin:0pt; text-indent:144pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">/s/ Michael T. Healy</P>
<P style="margin:0pt; padding-left:144pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">--------------------------</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Michael T. Healy</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Principal Accounting Officer</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Date: August 29, 2005</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Pursuant to the requirements of the Securities Exchange Act of 1934</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">and the Investment Company Act of &nbsp;1940, this report has been signed</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">below by the following persons on behalf of the registrant and in</P>
<P style="margin:0pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">the capacities and on the dates indicated.</P>
<P style="margin:0pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin-top:0pt; margin-bottom:-14pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">By (Signature and Title):</P>
<P style="margin:0pt; text-indent:144pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">/s/ Charles E. Porter</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">---------------------------</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Charles E. Porter</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Principal Executive Officer</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Date: August 29, 2005</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin-top:0pt; margin-bottom:-14pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">By (Signature and Title):</P>
<P style="margin:0pt; text-indent:144pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">/s/ Steven D. Krichmar</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">---------------------------</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Steven D. Krichmar</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Principal Financial Officer</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times New Roman; font-size:12pt">Date: August 29, 2005</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; font-family:Times New Roman; font-size:12pt"><BR></P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; font-family:Times New Roman; font-size:12pt"><BR>
<BR></P>
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<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>exnn2.htm
<DESCRIPTION>EX-99.CERT
<TEXT>
<!doctype html public "-//IETF//DTD HTML//EN">
<HTML>
<HEAD>
<TITLE>Certifications</TITLE>
<META NAME="author" CONTENT="Larry McMunn">
<META NAME="date" CONTENT="08/29/2005">
</HEAD>
<BODY style="line-height:12pt; font-size:10pt; color:#000000">
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Certifications</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">-------------------</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">I, Charles E. Porter, the Principal Executive Officer of the funds listed on</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Attachment A, certify that:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">1. I have reviewed each report on Form N-Q of the funds listed on</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Attachment A:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">2. Based on my knowledge, each report does not contain any untrue</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">statements of a material fact or omit to state a material fact necessary to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">make the statements made, in light of the circumstances under which such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">statements were made, not misleading with respect to the period covered by</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">each report;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">3. Based on my knowledge, the schedules of investments included in each</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">report fairly present in all material respects the investments of the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">registrant as of the end of the fiscal quarter for which the report is</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">filed;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">4. The registrant's other certifying officer and I are responsible for</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">establishing and maintaining disclosure controls and procedures (as defined</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">in Rule 30a-3(c) under the Investment Company Act of 1940) and internal</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">control over financial reporting (as defined in Rule 30a-3(d) under the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Investment Company Act of 1940) for the registrants and have:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">a) designed such disclosure controls and procedures, or caused such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">disclosure controls and procedures to be designed under our supervision, to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">ensure that material information relating to the registrant, including its</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">consolidated subsidiaries, is made known to us by others within those</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">entities, particularly during the period in which each report is being</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">prepared;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">b) designed such internal control over financial reporting, or caused such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">internal control over financial reporting to be designed under our</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">supervision, to provide reasonable assurance regarding the reliability of</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">financial reporting and the preparation of financial statements for external</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">purposes in accordance with generally accepted accounting principles;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">procedures and presented in this report our conclusions about the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">effectiveness of the disclosure controls and procedures, as of a date within</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">90 days prior to the filing date of this report, based on such evaluation;</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">d) disclosed in this report any change in the registrant&#146;s internal control</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">over financial reporting that occurred during the registrant&#146;s most recent</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">fiscal quarter that has materially affected, or is reasonably likely to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">materially affect, the registrant&#146;s internal control over financial</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">reporting; and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">5. The registrant&#146;s other certifying officer and I have disclosed to each</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">registrant&#146;s auditors and the audit committee of each registrant&#146;s board of</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">directors (or persons performing the equivalent functions):</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">a) all significant deficiencies and material weaknesses in the design or</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">operation of internal control over financial reporting which are reasonably</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">likely to adversely affect each registrant&#146;s ability to record, process,</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">summarize, and report financial information; and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">b) any fraud, whether or not material, that involves management or other</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">employees who have a significant role in each registrant&#146;s internal control</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">over financial reporting.</P>
<P style="margin:0pt; padding-left:144pt; line-height:14pt; font-family:Times; font-size:12pt">/s/ Charles E. Porter</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">-------------------------------</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Date: August 29, 2005</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Charles E. Porter</P>
<P style="margin:0pt; padding-left:108pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Principal Executive Officer</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Certifications</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">-------------------</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">on Attachment A, certify that:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">1. I have reviewed each report on Form N-Q of the funds listed on</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Attachment A:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">2. Based on my knowledge, each report does not contain any untrue</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">statements of a material fact or omit to state a material fact necessary to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">make the statements made, in light of the circumstances under which such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">statements were made, not misleading with respect to the period covered by</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">each report;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">3. Based on my knowledge, the schedules of investments included in each</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">report fairly present in all material respects the investments of the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">registrant as of the end of the fiscal quarter for which the report is</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">filed;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">4. The registrant's other certifying officer and I are responsible for</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">establishing and maintaining disclosure controls and procedures (as defined</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">in Rule 30a-3(c) under the Investment Company Act of 1940) and internal</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">control over financial reporting (as defined in Rule 30a-3(d) under the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Investment Company Act of 1940) for the registrants and have:</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">a) designed such disclosure controls and procedures, or caused such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">disclosure controls and procedures to be designed under our supervision, to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">ensure that material information relating to the registrant, including its</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">consolidated subsidiaries, is made known to us by others within those</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">entities, particularly during the period in which each report is being</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">prepared;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">b) designed such internal control over financial reporting, or caused such</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">internal control over financial reporting to be designed under our</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">supervision, to provide reasonable assurance regarding the reliability of</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">financial reporting and the preparation of financial statements for external</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">purposes in accordance with generally accepted accounting principles;</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">procedures and presented in this report our conclusions about the</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">effectiveness of the disclosure controls and procedures, as of a date within</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">90 days prior to the filing date of this report, based on such evaluation;</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">d) disclosed in this report any change in the registrant&#146;s internal control</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">over financial reporting that occurred during the registrant&#146;s most recent</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">fiscal quarter that has materially affected, or is reasonably likely to</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">materially affect, the registrant&#146;s internal control over financial</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">reporting; and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">5. The registrant&#146;s other certifying officer and I have disclosed to each</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">registrant&#146;s auditors and the audit committee of each registrant&#146;s board of</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">directors (or persons performing the equivalent functions):</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">a) all significant deficiencies and material weaknesses in the design or</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">operation of internal control over financial reporting which are reasonably</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">likely to adversely affect each registrant&#146;s ability to record, process,</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">summarize, and report financial information; and</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">b) any fraud, whether or not material, that involves management or other</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">employees who have a significant role in each registrant&#146;s internal control</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">over financial reporting.</P>
<P style="margin:0pt; padding-left:144pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">/s/ Steven D. Krichmar</P>
<P style="margin:0pt; padding-left:144pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">-------------------------------</P>
<P style="margin:0pt; padding-left:144pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Date: August 29, 2005</P>
<P style="margin:0pt; padding-left:144pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Steven D. Krichmar</P>
<P style="margin:0pt; padding-left:144pt; text-indent:36pt; line-height:14pt; font-family:Times; font-size:12pt">Principal Financial Officer</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Attachment A</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">---------------------------------------</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">NQ</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">Period (s) ended June 30, 2005 </P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">---------------------------------------</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">074 Putnam Master Intermediate Income Trust</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">054 Putnam High Yield Municipal Trust</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">033 Putnam American Government Income Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">027 Putnam California Tax Exempt Income Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">259 Putnam Asset Allocation: Balanced Portfolio</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">250 Putnam Asset Allocation: Growth Portfolio</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">264 Putnam Asset Allocation: Conservative Portfolio</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">075 Putnam Diversified Income Trust</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">010 Putnam Money Market Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">062 Putnam Tax Exempt Money Market Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">23T Putnam Prime Money Market Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">032 Putnam U.S. Government Income Trust</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">539 Putnam International New Opportunities Fund</P>
<P style="margin:0pt; line-height:14pt; font-family:Times; font-size:12pt">011 Putnam Tax Exempt Income Fund</P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR></P>
<P style="margin:0pt; font-family:Times; font-size:12pt"><BR>
<BR></P>
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