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Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
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<SEC-DOCUMENT>0000928816-06-000216.txt : 20060228
<SEC-HEADER>0000928816-06-000216.hdr.sgml : 20060228
<ACCEPTANCE-DATETIME>20060228145600
ACCESSION NUMBER:		0000928816-06-000216
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20051231
FILED AS OF DATE:		20060228
DATE AS OF CHANGE:		20060228
EFFECTIVENESS DATE:		20060228

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:		06650480

	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>a_mastinterinc1.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2
     >UNITED STATES</FONT><BR><FONT face=sans-serif size=2
     >SECURITIES AND EXCHANGE COMMISSION
      </FONT><BR><FONT face=sans-serif size=2
     >Washington, D.C. 20549 </FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2
>FORM N-Q </FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2
     >QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
      MANAGEMENT </FONT><BR><FONT face=sans-serif size=2
     >INVESTMENT COMPANY </FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2
>Investment Company Act file number: (811- 05498 ) </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Exact name of registrant as specified in charter: Putnam Master
Intermediate Income Trust</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Address of principal executive offices: One Post Office Square,
Boston, Massachusetts 02109 </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>Name and address of agent for
      service:</FONT>&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Beth S. Mazor, Vice
      President</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>One Post Office
      Square</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Boston, Massachusetts
      02109</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>Copy to:</FONT>&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>John W. Gerstmayr,
      Esq.</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Ropes &amp; Gray
      LLP</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>One International
      Place</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Boston, Massachusetts
      02110</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif
      size=2>Registrant&#146;s telephone number,
      including area code:</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>(617) 292-1000</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2
>Date of fiscal year end: September 30, 2005</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Date of reporting period: December 31, 2005 </FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>Item 1. Schedule of Investments:</FONT></U></P>
<HR align=center width="100%" noShade SIZE=2>
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<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=5
     >Putnam Master Intermediate </FONT><BR><FONT face=sans-serif
      size=5>Income Trust</FONT><BR><FONT
      face=sans-serif>The fund's portfolio</FONT><BR><FONT
      face=sans-serif size=2>12/31/05
      (Unaudited)</FONT><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >CORPORATE BONDS AND NOTES (20.9%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Basic Materials (2.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>ALROSA Finance SA 144A company
      guaranty 8 7/8s, 2014 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$4,250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$4,870,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Chaparral Steel Co. company
      guaranty 10s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>486,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>523,665</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Cognis Holding GmbH &amp; Co.
      144A sr. notes 9 1/2s, 2014 (Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>333,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Compass Minerals International,
      Inc. sr. disc. notes stepped-coupon Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>B, zero % (12s, 6/1/08), 2013
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$285,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>246,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Compass Minerals International,
      Inc. sr. notes stepped-coupon zero % (12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>3/4s, 12/15/07), 2012
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>775,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>701,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Crystal US Holdings, LLC sr.
      disc. notes stepped-coupon Ser. A, zero %</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>(10s, 10/1/09), 2014
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>253,575</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Equistar Chemicals LP/Equistar
      Funding Corp. company guaranty 10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>581,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>630,385</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Gerdau Ameristeel Corp. sr.
      notes 10 3/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>680,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>749,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Huntsman, LLC company guaranty
      11 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>296,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Huntsman, LLC company guaranty
      11 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>191,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>216,308</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Innophos, Inc. 144A sr. sub.
      notes 9 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>226,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>International Steel Group, Inc.
      sr. notes 6 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>130,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>ISP Chemco, Inc. company
      guaranty Ser. B, 10 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>646,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>691,220</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Jefferson Smurfit Corp. company
      guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>110,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>JSG Holding PLC 144A sr. notes
      11 1/2s, 2015 (Ireland) (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>436,178</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>475,846</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>MDP Acquisitions PLC sr. notes 9
      5/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>235,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>MDP Acquisitions PLC sr. notes
      Ser. EUR, 10 1/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>553,186</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Nalco Co. sr. sub. notes 9s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>95,399</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Nalco Co. sr. sub. notes 8 7/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$824,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>863,140</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Novelis, Inc. 144A sr. notes 7
      1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>805,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>750,663</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>PQ Corp. 144A company guaranty 7
      1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>92,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>85,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Rockwood Specialties Group, Inc.
      company guaranty 7 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>426,412</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Steel Dynamics, Inc. company
      guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$695,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>733,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Sterling Chemicals, Inc. sec.
      notes 10s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>146,606</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>140,742</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Stone Container Corp. sr. notes
      9 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>146,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Stone Container Corp. sr. notes
      8 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>232,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Stone Container Finance company
      guaranty 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>127,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Tembec Industries, Inc. company
      guaranty 7 3/4s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>42,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>United States Steel Corp. sr.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>509,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>553,538</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >15,442,352</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Capital Goods (0.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Allied Waste North America, Inc.
      company guaranty Ser. B, 8 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>732,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>769,515</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>BE Aerospace, Inc. sr. notes 8
      1/2s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>33,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>35,228</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Blount, Inc. sr. sub. notes 8
      7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>541,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>570,755</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Browning-Ferris Industries, Inc.
      sr. notes 6 3/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>73,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>73,183</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Crown Euro Holdings SA company
      guaranty 6 1/4s, 2011 (France)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>107,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>133,831</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Decrane Aircraft Holdings Co.
      company guaranty zero %, 2008 (acquired</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>7/23/04, cost $323,523)
      (RES)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$986,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>544,765</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>L-3 Communications Corp. sr.
      sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>854,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>828,380</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Manitowoc Co., Inc. (The)
      company guaranty 10 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>61,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Manitowoc Co., Inc. (The)
      company guaranty 10 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>228,957</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Manitowoc Co., Inc. (The) sr.
      notes 7 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$220,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>226,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Milacron Escrow Corp. sec. notes
      11 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>123,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>105,165</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Mueller Group, Inc. sr. sub.
      notes 10s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>281,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Owens-Brockway Glass company
      guaranty 7 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>181,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>188,919</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Owens-Brockway Glass sr. sec.
      notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>877,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>942,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Siebe PLC 144A sr. unsub. 6
      1/2s, 2010 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>436,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>375,505</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Terex Corp. company guaranty 9
      1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>202,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Terex Corp. company guaranty
      Ser. B, 10 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>730,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>776,538</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >6,345,142</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Communication Services (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Alamosa Delaware, Inc. company
      guaranty 12s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>268,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>293,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Alamosa Delaware, Inc. company
      guaranty 11s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>332,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>374,330</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>American Cellular Corp. company
      guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>203,531</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Asia Global Crossing, Ltd. sr.
      notes 13 3/8s, 2010 (Bermuda) (In default)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>522,004</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>22,185</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Cincinnati Bell, Inc. company
      guaranty 7s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>578,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>566,440</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Cincinnati Bell, Inc. sr. sub.
      notes 8 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>157,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Citizens Communications Co. sr.
      notes 6 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,711,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,655,393</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Digicel, Ltd. 144A sr. notes 9
      1/4s, 2012 (Jamaica)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>325,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>333,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Inmarsat Finance PLC company
      guaranty 7 5/8s, 2012 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>345,469</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Inmarsat Finance PLC company
      guaranty stepped-coupon zero % (10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>3/8s, 10/15/08), 2012 (United
      Kingdom) (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>754,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>628,648</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>iPCS, Inc. sr. notes 11 1/2s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>344,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>IWO Holdings, Inc. sec. FRN
      7.9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>82,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>85,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Qwest Communications
      International, Inc. company guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>428,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>439,770</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Qwest Corp. notes 8 7/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,501,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,692,378</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Qwest Corp. 144A sr. notes 7
      5/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>409,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>437,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Rogers Cantel, Inc. debs. 9
      3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>164,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>198,030</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Rural Cellular Corp. sr. sub.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>75,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>SBA Communications Corp. sr.
      notes 8 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>148,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>164,280</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>SBA Telecommunications, Inc./SBA
      Communications Corp. sr. disc. notes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>stepped-coupon zero % (9 3/4s,
      12/15/07), 2011 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>208,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>192,920</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >8,210,542</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Consumer Cyclicals (4.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp;
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_3></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>ArvinMeritor, Inc. notes 8 3/4s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>285,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>272,888</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Autonation, Inc. company
      guaranty 9s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>885,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>950,269</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Boyd Gaming Corp. sr. sub. notes
      8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>585,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>629,606</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Boyd Gaming Corp. sr. sub. notes
      7 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>172,838</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Boyd Gaming Corp. sr. sub. notes
      6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>134,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>132,995</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CanWest Media, Inc. company
      guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>748,021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>763,916</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Coinmach Corp. sr. notes 9s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>858,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>898,755</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>D.R. Horton, Inc. sr. notes 7
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>630,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>683,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>D.R. Horton, Inc. sr. notes 5
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>423,414</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dana Corp. notes 10 1/8s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>136,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dana Corp. notes 9s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>550,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>442,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dex Media West, LLC/Dex Media
      Finance Co. sr. notes Ser. B, 8 1/2s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>605,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>633,738</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dex Media, Inc. notes 8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>580,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>591,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>FelCor Lodging LP company
      guaranty 9s, 2008 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>515,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>563,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>General Motors Acceptance Corp.
      FRN 5.1s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>328,065</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>General Motors Acceptance Corp.
      FRN Ser. MTN, 5.22s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>695,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>656,465</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Goodyear Tire &amp; Rubber Co.
      (The) notes 7.857s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,075,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,048,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>HMH Properties, Inc. company
      guaranty Ser. B, 7 7/8s, 2008 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>187,081</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Host Marriott LP sr. notes Ser.
      M, 7s, 2012 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>725,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>743,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>JC Penney Co., Inc. notes 9s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>575,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>679,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>JC Penney Co., Inc. notes 8s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>32,857</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Jostens IH Corp. company
      guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>718,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>721,590</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>K. Hovnanian Enterprises, Inc.
      company guaranty 8 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>623,468</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>K. Hovnanian Enterprises, Inc.
      company guaranty 6 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>385,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>364,151</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>K. Hovnanian Enterprises, Inc.
      sr. notes 6 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>295,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>282,116</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>KB Home company guaranty 5 7/8s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>232,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>218,795</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>KB Home sr. notes 5 3/4s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>333,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>313,976</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Levi Strauss &amp; Co. sr. notes
      12 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>362,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>403,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Levi Strauss &amp; Co. sr. notes
      9 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>651,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>677,040</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>MeriStar Hospitality Corp.
      company guaranty 9 1/8s, 2011 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>418,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>455,620</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Meritage Homes Corp. company
      guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>213,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Meritage Homes Corp. sr. notes
      7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>151,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Meritor Automotive, Inc. notes
      6.8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>405,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>377,663</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>MGM Mirage, Inc. company
      guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>468,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>507,195</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>MGM Mirage, Inc. company
      guaranty 6s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,009,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,002,694</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Movie Gallery, Inc. sr. unsecd.
      notes 11s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>478,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>372,840</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Owens Corning notes 7 1/2s, 2005
      (In default) (NON)(DEF)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>534,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>409,845</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Oxford Industries, Inc. sr.
      notes 8 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>460,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>468,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Park Place Entertainment Corp.
      sr. notes 7 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>905,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>963,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Park Place Entertainment Corp.
      sr. notes 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>495,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>529,535</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Park Place Entertainment Corp.
      sr. sub. notes 8 7/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>395,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>427,094</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pinnacle Entertainment, Inc. sr.
      sub. notes 8 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>247,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>255,336</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>PRIMEDIA, Inc. sr. notes 8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>688,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>582,220</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>R.H. Donnelley Corp. sr. notes 6
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>308,619</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>R.H. Donnelley Finance Corp. I
      144A sr. sub. notes 10 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>475,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>535,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Reader's Digest Association,
      Inc. (The) sr. notes 6 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>356,788</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Resorts International Hotel and
      Casino, Inc. company guaranty 11 1/2s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>498,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Russell Corp. company guaranty 9
      1/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>466,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>474,155</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Scientific Games Corp. company
      guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>626,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>615,828</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Sealy Mattress Co. sr. sub.
      notes 8 1/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>735,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>757,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Standard Pacific Corp. sr. notes
      7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>411,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Starwood Hotels &amp; Resorts
      Worldwide, Inc. company guaranty 7 7/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>560,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>617,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Starwood Hotels &amp; Resorts
      Worldwide, Inc. company guaranty 7 3/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>397,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Starwood Hotels &amp; Resorts
      Worldwide, Inc. debs. 7 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>520,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>564,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Station Casinos, Inc. sr. notes
      6s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>470,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>468,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Tenneco Automotive, Inc. company
      guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>396,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Tenneco Automotive, Inc. sec.
      notes Ser. B, 10 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>436,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>476,330</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Texas Industries, Inc. 144A sr.
      notes 7 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>161,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>167,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>THL Buildco, Inc. (Nortek
      Holdings, Inc.) sr. sub. notes 8 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>604,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>582,860</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Toys R Us, Inc. notes 7 5/8s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>73,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>59,860</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Trump Entertainment Resorts,
      Inc. sec. notes 8 1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>117,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>114,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>United Auto Group, Inc. company
      guaranty 9 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>515,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>542,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Vertis, Inc. company guaranty
      Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>736,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>724,960</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Vertis, Inc. 144A sub. notes 13
      1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>730,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>591,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>WCI Communities, Inc. company
      guaranty 9 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>810,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>801,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Wynn Las Vegas, LLC/Wynn Las
      Vegas Capital Corp. 1st mtge. 6 5/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>555,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>539,738</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >32,297,885</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Consumer Staples (2.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Affinity Group, Inc. sr. sub.
      notes 9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>545,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>544,319</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>AMC Entertainment, Inc. sr. sub.
      notes 8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>456,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>412,680</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Archibald Candy Corp. company
      guaranty 10s, 2007 (In default) (F)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>90,153</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,711</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Ashtead Holdings PLC 144A sr.
      notes 8 5/8s, 2015 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>221,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Brand Services, Inc. company
      guaranty 12s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>565,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>593,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Cablevision Systems Corp. sr.
      notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>409,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>382,415</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCH I Holdings LLC 144A company
      guaranty 11 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>412,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>239,990</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCH I Holdings LLC 144A company
      guaranty 10s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>334,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>189,545</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCH I Holdings LLC 144A company
      guaranty stepped-coupon zero % (12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>1/8s, 1/15/07), 2015
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>49,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>23,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCH I Holdings LLC 144A company
      guaranty stepped-coupon zero % (11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>3/4s, 5/15/06), 2014
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>77,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>42,735</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCH I LLC 144A secd. notes 11s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,347,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,131,480</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Church &amp; Dwight Co., Inc.
      company guaranty 6s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>444,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>437,340</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Cinemark USA, Inc. sr. sub.
      notes 9s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>31,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Cinemark, Inc. sr. disc. notes
      stepped-coupon zero % (9 3/4s, 3/15/07),</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2014 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>990,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>732,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Constellation Brands, Inc.
      company guaranty Ser. B, 8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>825,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>860,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Constellation Brands, Inc. sr.
      sub. notes Ser. B, 8 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>425,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>445,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CSC Holdings, Inc. sr. notes
      Ser. B, 7 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>353,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>351,235</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CSC Holdings, Inc. 144A sr.
      notes 6 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,068,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,009,260</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dean Foods Co. sr. notes 6 5/8s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>918,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>935,213</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Del Monte Corp. company guaranty
      6 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>312,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Del Monte Corp. sr. sub. notes 8
      5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>560,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>595,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>DirecTV Holdings, LLC company
      guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,026,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,002,915</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Echostar DBS Corp. company
      guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>2,119,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,031,591</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Granite Broadcasting Corp. sec.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>542,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>498,640</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Interpublic Group of Companies,
      Inc. notes 6 1/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>118,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>101,480</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_4></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Jean Coutu Group, Inc. sr. notes
      7 5/8s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>509,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>501,365</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Jean Coutu Group, Inc. sr. sub.
      notes 8 1/2s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>251,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>229,665</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Kabel Deutscheland GmbH 144A
      company guaranty 10 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>(Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>461,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>485,203</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pinnacle Foods Holding Corp. sr.
      sub. notes 8 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>741,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>705,803</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Playtex Products, Inc. company
      guaranty 9 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>266,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>278,635</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Playtex Products, Inc. sec.
      notes 8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>770,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>820,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Prestige Brands, Inc. sr. sub.
      notes 9 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>443,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Rainbow National Services, LLC
      144A sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>482,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>513,330</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Remington Arms Co., Inc. company
      guaranty 10 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>735,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>654,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Sbarro, Inc. company guaranty
      11s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>726,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>722,370</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Scotts Co. (The) sr. sub. notes
      6 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>255,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>258,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Six Flags, Inc. sr. notes 9
      5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>370,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>359,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Young Broadcasting, Inc. company
      guaranty 10s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>431,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>403,524</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Young Broadcasting, Inc. sr.
      sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>321,656</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >19,826,567</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Energy (3.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Arch Western Finance, LLC sr.
      notes 6 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,347,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,372,256</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Bluewater Finance, Ltd. company
      guaranty 10 1/4s, 2012 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>487,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>523,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CHC Helicopter Corp. sr. sub.
      notes 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>812,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>821,135</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Chesapeake Energy Corp. company
      guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>269,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>285,140</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Chesapeake Energy Corp. sr.
      notes 7 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,031,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,095,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Chesapeake Energy Corp. sr.
      notes 7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>279,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>288,765</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Comstock Resources, Inc. sr.
      notes 6 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>510,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>499,163</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dresser, Inc. company guaranty 9
      3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>696,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>732,540</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Exco Resources, Inc. company
      guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>725,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>735,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Forest Oil Corp. company
      guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>108,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>112,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Forest Oil Corp. sr. notes 8s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>540,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>589,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Forest Oil Corp. sr. notes 8s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>349,238</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Gazprom OAO 144A notes 9 5/8s,
      2013 (Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,860,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,243,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Harvest Operations Corp. sr.
      notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>584,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>581,080</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Hornbeck Offshore Services, Inc.
      sr. notes Ser. B, 6 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>517,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>504,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Massey Energy Co. sr. notes 6
      5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>774,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>786,578</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Nak Naftogaz Ukrainy bonds 8
      1/8s, 2009 (Ukraine)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,876,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Newfield Exploration Co. sr.
      notes 7 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>700,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>747,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Newfield Exploration Co. sr.
      sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>348,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>354,090</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Offshore Logistics, Inc. company
      guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>655,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>612,425</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Oslo Seismic Services, Inc. 1st
      mtge. 8.28s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>490,858</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>510,277</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pacific Energy Partners/Pacific
      Energy Finance Corp. sr. notes 7 1/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>355,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>365,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pemex Finance, Ltd. bonds 9.69s,
      2009 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>761,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>822,995</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pemex Project Funding Master
      Trust 144A notes 5 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>4,060,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,039,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pioneer Natural Resources Co.
      company guaranty 6 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>115,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>117,509</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Plains Exploration &amp;
      Production Co. sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>620,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>641,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Plains Exploration &amp;
      Production Co. sr. sub. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>485,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>522,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pogo Producing Co. sr. sub.
      notes Ser. B, 8 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>670,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>700,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Pride International, Inc. sr.
      notes 7 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>826,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>885,885</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Seabulk International, Inc.
      company guaranty 9 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>674,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Star Gas Partners LP/Star Gas
      Finance Co. sr. notes 10 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>113,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>111,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Vintage Petroleum, Inc. sr.
      notes 8 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>670,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>718,575</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Vintage Petroleum, Inc. sr. sub.
      notes 7 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>151,525</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >25,373,090</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Financial (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Bosphorus Financial Services,
      Ltd. 144A sec. FRN 6.14s, 2012 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,856,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,865,521</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Crescent Real Estate Equities LP
      notes 7 1/2s, 2007 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>310,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>314,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Finova Group, Inc. notes 7 1/2s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>491,340</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>171,969</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>UBS Luxembourg SA for Sberbank
      sub. notes 6.23s, 2015 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,990,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,009,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>VTB Capital SA 144A notes 7
      1/2s, 2011 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>3,010,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>3,228,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Western Financial Bank sub.
      debs. 9 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>540,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>603,450</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >8,193,715</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Health Care (1.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Community Health Systems, Inc.
      sr. sub. notes 6 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>183,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>178,196</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Coventry Health Care, Inc. sr.
      notes 5 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>323,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>DaVita, Inc. company guaranty 7
      1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>349,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>DaVita, Inc. company guaranty 6
      5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>178,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Extendicare Health Services,
      Inc. sr. sub. notes 6 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>312,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>304,980</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>HCA, Inc. debs. 7.19s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>51,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>53,618</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 6 3/8s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>212,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>214,297</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 6 1/4s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>550,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>550,391</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 5 3/4s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>252,123</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Healthsouth Corp. notes 7 5/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>843,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>851,430</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>MedQuest, Inc. company guaranty
      Ser. B, 11 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>595,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>584,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>MQ Associates, Inc. sr. disc.
      notes stepped-coupon zero % (12 1/4s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>8/15/08), 2012
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>805,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>458,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Omnicare, Inc. sr. sub. notes 6
      1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>740,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>730,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>PacifiCare Health Systems, Inc.
      company guaranty 10 3/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>737,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>788,590</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Service Corp. International
      notes 6 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>111,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Service Corp. International
      notes Ser. *, 7.7s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>283,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Service Corp. International 144A
      sr. notes 7 1/4s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>170,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>168,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Service Corp. International 144A
      sr. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>535,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>521,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Stewart Enterprises, Inc. 144A
      sr. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>724,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>695,040</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Tenet Healthcare Corp. notes 7
      3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>359,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Tenet Healthcare Corp. sr. notes
      9 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>835,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>845,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Triad Hospitals, Inc. sr. notes
      7s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>825,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>842,531</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Triad Hospitals, Inc. sr. sub.
      notes 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>211,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>211,528</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Universal Hospital Services,
      Inc. sr. notes 10 1/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>840,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>869,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>US Oncology, Inc. company
      guaranty 9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>449,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Vanguard Health Holding Co. II,
      LLC sr. sub. notes 9s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>556,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>590,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      company guaranty 9s, 2012 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>305,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>347,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      company guaranty 6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>201,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>206,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      sr. notes 6 5/8s, 2014 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>173,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>176,893</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >12,497,819</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_5></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Technology (0.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Advanced Micro Devices, Inc. sr.
      notes 7 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>515,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>520,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Freescale Semiconductor, Inc.
      sr. notes Ser. B, 7 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,229,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,308,885</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Iron Mountain, Inc. company
      guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>700,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>731,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>New ASAT Finance, Ltd. company
      guaranty 9 1/4s, 2011 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>13,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>8,970</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>SunGard Data Systems, Inc. 144A
      sr. unsecd. notes 9 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>351,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Xerox Corp. notes Ser. MTN,
      7.2s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>183,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Xerox Corp. sr. notes 9 3/4s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>266,435</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Xerox Corp. sr. notes 7 5/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$1,080,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,139,400</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >4,510,990</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Transportation (0.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Calair, LLC/Calair Capital Corp.
      company guaranty 8 1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>760,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >649,800</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Utilities &amp; Power (1.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>AES Corp. (The) sr. notes 8
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>54,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>58,320</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>AES Corp. (The) sr. notes 8
      3/4s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>31,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>AES Corp. (The) 144A sec. notes
      8 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>460,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>500,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Centrais Electricas Brasileirass
      SA 144A sr. notes 7 3/4s, 2015 (Brazil)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>306,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>CMS Energy Corp. sr. notes 8.9s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>641,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>CMS Energy Corp. sr. notes 7
      3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>188,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Colorado Interstate Gas Co. sr.
      notes 5.95s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>174,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>168,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>DPL, Inc. sr. notes 6 7/8s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>457,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>481,564</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Dynegy Holdings, Inc. 144A sec.
      notes 10 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>872,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>985,360</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>El Paso Corp. notes 6 3/8s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>196,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>El Paso Natural Gas Co. sr.
      notes Ser. A, 7 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>385,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>El Paso Production Holding Co.
      company guaranty 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>993,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,030,238</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Ferrellgas LP/Finance sr. notes
      6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>520,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>491,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Mission Energy Holding Co. sec.
      notes 13 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>749,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>868,840</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Monongahela Power Co. 1st mtge.
      6.7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>437,909</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>National Power Corp. 144A
      foreign government guaranty FRN 8.63s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>(Philippines)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>209,869</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Northwestern Corp. sec. notes 5
      7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>319,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>319,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>NRG Energy, Inc. company
      guaranty 8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>494,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>550,810</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Orion Power Holdings, Inc. sr.
      notes 12s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>655,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>740,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>PSEG Energy Holdings, Inc. notes
      7 3/4s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>615,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>636,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>SEMCO Energy, Inc. sr. notes 7
      3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>517,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>542,088</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. notes 7.2s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>195,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. notes 7s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>280,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>294,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. sr. notes 6
      3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>32,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>33,120</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Texas Genco LLC/Texas Genco
      Financing Corp. 144A sr. notes 6 7/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>585,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>633,263</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Utilicorp Canada Finance Corp.
      company guaranty 7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>612,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>625,770</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Utilicorp United, Inc. sr. notes
      9.95s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>361,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>398,003</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Williams Cos., Inc. (The) notes
      8 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>163,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Williams Cos., Inc. (The) 144A
      notes 6 3/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>172,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>171,785</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>York Power Funding 144A notes
      12s, 2007 (Cayman Islands) (In default)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>(F)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>203,730</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>16,991</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >12,302,668</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Total corporate bonds and notes (cost
      $143,942,472)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$145,650,570</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >U.S. GOVERNMENT AND AGENCY MORTGAGE
      OBLIGATIONS</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >(14.7%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >U.S. Government Agency Mortgage Obligations
      (14.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Federal National Mortgage
      Association Pass-Through Certificates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>8 1/2s, March 1,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$9</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$9</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>8s, with due dates from October
      1, 2025 to July 1, 2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>13,133</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>14,082</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>7 1/2s, December 1,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,927</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,072</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>6 1/2s, with due dates from
      August 1, 2034 to September 1, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,271,398</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,304,226</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>6 1/2s, October 1,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>22,221</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>22,762</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>6s, TBA, January 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>14,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>14,125,782</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>5 1/2s, with due dates from May
      1, 2035 to December 1, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>11,746,114</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>11,634,158</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>5 1/2s, TBA, January 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>51,900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>51,389,107</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>5s, with due dates from April 1,
      2019 to April 1, 2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,245,448</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,223,151</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>5s, TBA, January 1,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>7,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,780,157</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>5s, TBA, January 1,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,032,328</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>4 1/2s, with due dates from
      August 1, 2033 to June 1, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,189,440</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,016,389</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>4 1/2s, TBA, January 1,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>5,665,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>5,509,213</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >102,054,436</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Total U.S. government and agency mortgage obligations
      (cost</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$102,054,436</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >$101,754,160)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >U.S. TREASURY OBLIGATIONS (10.4%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>U.S. Treasury Notes</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>6 1/2s, February 15,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$7,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$8,092,969</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>4 1/4s, August 15,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>38,008,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>37,675,430</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>3 1/4s, August 15,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>27,242,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>26,488,590</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >Total U.S. treasury obligations (cost
      $73,842,620)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$72,256,989</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >COLLATERALIZED MORTGAGE OBLIGATIONS
      (14.0%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Banc of America Commercial
      Mortgage, Inc. Ser. 01-1, Class G, 7.324s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$325,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$350,829</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Banc of America Commercial
      Mortgage, Inc. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Ser. 01-1, Class J, 6 1/8s,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>163,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>162,767</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Ser. 01-1, Class K, 6 1/8s,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>367,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>276,662</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_6></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Banc of America Large Loan
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 02-FL2A, Class L1,
      7.331s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>141,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>140,881</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 02-FL2A, Class K1,
      6.831s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>99,981</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-BOCA, Class M,
      6.469s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>355,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>356,145</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-ESHA, Class K,
      6.167s, 2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>712,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>711,987</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-BOCA, Class L,
      6.069s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>183,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>183,422</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-BOCA, Class K,
      5.719s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>200,462</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-MIB1, Class K,
      6.369s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,077,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,045,902</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bear Stearns Commercial Mortgage
      Securities, Inc. 144A FRB Ser. 05-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>LXR1, Class J, 6.019s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>696,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>696,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bear Stearns Commercial Mortgage
      Securitization Corp. Ser. 00-WF2,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Class F, 8.199s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>410,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>469,242</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Broadgate Financing PLC sec. FRB
      Ser. D, 5.40s, 2023 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>467,875</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>800,618</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Commercial Mortgage Pass-Through
      Certificates 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 01-FL5A, Class G,
      5.152s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$1,074,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,068,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-F10A, Class A1,
      4.469s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>5,180,146</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>5,177,489</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>CS First Boston Mortgage
      Securities Corp. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 03-TF2A, Class L,
      8.369s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>356,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>355,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-TFLA, Class L,
      6.219s, 2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>699,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>698,846</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 98-C1, Class F, 6s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>966,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>850,564</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-TFLA, Class K,
      5.669s, 2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>388,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>387,915</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-CP5, Class M, 5 1/4s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>354,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>277,324</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Deutsche Mortgage &amp; Asset
      Receiving Corp. Ser. 98-C1, Class X, Interest</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Only (IO), 0.899s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>20,125,891</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>426,103</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>DLJ Commercial Mortgage
      Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 98-CF2, Class B4, 6.04s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>286,492</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>281,192</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 98-CF2, Class B5, 5.95s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>915,958</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>668,833</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>DLJ Mortgage Acceptance Corp.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-CF1, Class B2, 8.16s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>192,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-CF1, Class B1, 7.91s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>266,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>273,744</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>European Loan Conduit FRB Ser.
      6X, Class E, 6.345s, 2010 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>372,956</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>645,236</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>European Loan Conduit 144A FRB
      Ser. 6A, Class F, 6.845s, 2010 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>133,198</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>230,876</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>European Prime Real Estate PLC
      144A FRB Ser. 1-A, Class D, 5.4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>(United Kingdom)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>361,022</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>619,694</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Fannie Mae</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-114, Class PS,
      9.041s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>361,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>362,579</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-115, Class NQ,
      8.813s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>373,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>373,248</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-74, Class CP,
      8.695s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>645,821</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>683,731</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-76, Class SA,
      8.695s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>912,962</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>950,302</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-106, Class US,
      8.511s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,579,320</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,676,922</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-99, Class SA,
      8.511s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>756,452</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>788,115</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-104, Class SD,
      8.511s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,008,634</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,031,407</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-42, Class B2, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>37,533</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>40,487</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-17, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>176,550</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>190,268</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-18, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>163,246</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>175,881</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-19, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>168,448</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>181,469</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-20, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>95,593</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>103,097</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-21, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>284,582</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>306,808</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-22, Class PA, 8s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>212,467</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>228,891</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-37, Class PB, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>497,111</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>537,179</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-13, Class TA, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>71,222</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>76,991</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-21, Class PA, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>289,260</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>312,315</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-22, Class PA, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>557,587</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>602,361</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-16, Class PE, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>189,472</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>204,649</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-25, Class PB, 8s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>187,822</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>202,791</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-12, Class PD, 8s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>113,645</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>122,611</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-5, Class A, 8s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>137,961</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>149,136</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-5, Class TA, 8s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>35,522</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>38,492</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-6, Class A, 8s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>88,684</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>95,859</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-7, Class A, 8s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>120,607</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>130,436</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 94-106, Class PA, 8s,
      2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>179,233</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>193,877</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 94-95, Class A, 8s,
      2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>276,440</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>299,191</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-74, Class CS,
      7.978s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>736,294</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>765,745</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-114, Class SP, 7.7s,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>435,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>431,398</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-W8, Class 3A, 7 1/2s,
      2044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>504,542</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>532,178</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-W2, Class 5A, 7 1/2s,
      2044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,810,387</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,909,380</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-T2, Class 1A4, 7 1/2s,
      2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>430,725</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>453,887</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-W4, Class 4A, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>135,805</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>142,423</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-W3, Class 1A3, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>286,865</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>301,607</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-T19, Class A3, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>345,268</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>363,021</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-W2, Class 1A3, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,457</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>6,791</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-W1, Class 2A, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>577,233</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>603,398</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-14, Class A2, 7 1/2s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,939</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T10, Class A2, 7 1/2s,
      2041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>359,718</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>376,809</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-T4, Class A3, 7 1/2s,
      2041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,708</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,790</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T8, Class A1, 7 1/2s,
      2041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>4,586</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,797</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T7, Class A1, 7 1/2s,
      2041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,418,575</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,482,524</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T3, Class A1, 7 1/2s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>212,795</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>222,487</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T1, Class A1, 7 1/2s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>661,455</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>693,141</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-T2, Class A1, 7 1/2s,
      2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>272,274</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>286,458</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-T6, Class A1, 7 1/2s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>133,412</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>139,426</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-W7, Class A5, 7 1/2s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>230,874</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>242,587</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T4, Class A1, 7 1/2s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>634,029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>669,297</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-W3, Class A5, 7 1/2s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,455</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,527</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-W12, Class 1A3, 7s,
      2044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>534,002</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>556,222</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-T10, Class A1, 7s,
      2041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,390,704</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,440,466</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-95, Class CP,
      6.878s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>124,913</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>127,586</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-95, Class OP, 6.83s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>350,676</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-83, Class QP,
      6.009s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>239,242</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>230,677</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-66, Class PS,
      5.928s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>460,357</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>434,347</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-93, Class AS,
      5.928s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>332,954</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>314,121</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 350, Class 2, IO, 5 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,113,033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>247,903</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 329, Class 2, IO, 5 1/2s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,070,242</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>460,712</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-37, Class IC, IO, 5
      1/2s, 2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,697,422</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>170,082</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 02-36, Class QH, IO,
      3.671s, 2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>367,087</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>7,471</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 03-66, Class SA, IO,
      3.271s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,581,722</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>119,104</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 03-48, Class S, IO,
      3.171s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>727,174</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>55,192</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-113, Class DI, IO,
      2.87s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>9,454,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>625,855</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 04-51, Class S0, IO,
      2.671s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>402,092</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>22,879</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-72, Class WS, IO,
      2.371s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,141,682</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>80,603</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-105, Class S, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,150,382</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>64,170</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-95, Class CI, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,635,481</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>109,741</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_7></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-84, Class SG, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,939,575</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>207,342</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-87, Class SG, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,772,965</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>205,745</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-69, Class AS, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>803,297</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>45,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-104, Class NI, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,364,171</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>109,364</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 04-92, Class S, IO,
      2.321s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,367,667</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>146,085</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-83, Class QI, IO,
      2.311s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>401,125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>29,282</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-92, Class SC, IO,
      2.301s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,895,823</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>251,281</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-83, Class SL, IO,
      2.291s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>7,774,737</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>434,608</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-95, Class OI, IO,
      2.211s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>223,008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>16,569</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 03-112, Class SA, IO,
      2.121s, 2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,545,706</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>58,787</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-67, Class BS, IO,
      1.771s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,002,244</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>93,855</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-74, Class SE, IO,
      1.721s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,778,628</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>101,420</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 05-87, Class SE, IO,
      1.671s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>14,926,380</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>566,736</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 04-54, Class SW, IO,
      1.621s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>927,754</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>30,070</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 03-W10, Class 1A, IO,
      1.284s, 2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5,256,645</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>84,009</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 03-W10, Class 3A, IO,
      1.265s, 2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6,324,958</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>108,656</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 03-W17, Class 12, IO,
      1.155s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,548,307</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>105,887</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 02-T18, IO, 0.523s,
      2042</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>9,992,162</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>119,331</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 05-113, Class DO, Principal
      Only (PO), zero %, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,906,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,361,706</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 361, Class 1, PO, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>706,957</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>560,815</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 342, Class 1, PO, zero %,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>311,426</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>246,221</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 99-51, Class N, PO, zero %,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>100,576</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>83,619</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 99-52, Class MO, PO, zero
      %, 2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>16,448</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>15,939</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Federal Home Loan Mortgage Corp.
      Structured Pass-Through Securities</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. T-59, Class 1A3, 7 1/2s,
      2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>584,296</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>616,798</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. T-58, Class 4A, 7 1/2s,
      2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>9,019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>9,468</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. T-41, Class 3A, 7 1/2s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,374,051</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,438,837</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. T-60, Class 1A2, 7s,
      2044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,646,328</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,752,593</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. T-57, Class 1AX, IO,
      0.452s, 2043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,372,599</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>32,377</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>FFCA Secured Lending Corp. Ser.
      00-1, Class X, IO, 1.478s, 2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>9,218,533</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>566,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Freddie Mac</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2963, Class SV,
      11.122s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>313,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>355,157</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2763, Class SC,
      11.122s, 2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>417,830</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>454,170</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3081, Class DC, 9.506s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>597,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>621,179</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2979, Class AS, 8.252s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>269,641</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>274,191</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3051, Class PS, 8.142s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>330,347</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>334,528</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3072, Class SA, 8.106s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>234,571</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>234,205</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3072, Class SM, 7.776s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>372,158</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>367,041</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3072, Class SB, 7.629s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>352,204</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>345,380</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2229, Class PD, 7 1/2s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>199,742</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>212,164</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2224, Class PD, 7 1/2s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>198,721</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>211,079</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2217, Class PD, 7 1/2s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>208,160</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>221,104</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2187, Class PH, 7 1/2s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>463,770</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>492,611</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1989, Class C, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>69,614</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>73,943</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1990, Class D, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>190,654</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>202,511</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1969, Class PF, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>166,348</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>176,693</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1975, Class E, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>43,859</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>46,587</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1943, Class M, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>103,285</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>109,708</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1932, Class E, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>144,193</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>153,159</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1938, Class E, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>58,383</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>62,014</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1941, Class E, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>47,731</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>50,699</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1924, Class H, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>156,976</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>166,738</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1928, Class D, 7 1/2s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>61,923</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>65,774</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1915, Class C, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>141,647</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>150,456</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1923, Class D, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>168,256</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>178,720</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1904, Class D, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>181,524</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>192,813</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1905, Class H, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>160,549</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>170,533</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1890, Class H, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>151,208</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>160,611</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1895, Class C, 7 1/2s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>75,751</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>80,462</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2256, Class UA, 7s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>52,389</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>55,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2208, Class PG, 7s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>475,061</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>498,962</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2211, Class PG, 7s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>263,920</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>277,199</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2198, Class PH, 7s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>405,784</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>426,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2054, Class H, 7s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,021,014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,072,383</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2031, Class PG, 7s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>109,158</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>114,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2020, Class E, 7s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>553,352</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>581,192</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1998, Class PL, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>244,211</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>256,497</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1999, Class PG, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>390,475</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>410,120</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2004, Class BA, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>238,129</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>250,110</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2005, Class C, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>180,803</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>189,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2005, Class CE, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>201,854</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>212,010</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2006, Class H, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>576,482</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>605,486</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2006, Class T, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>368,546</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>387,089</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1987, Class AP, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>118,334</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>124,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1987, Class PT, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>199,456</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>209,491</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1978, Class PG, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>343,991</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>361,298</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1973, Class PJ, 7s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>410,949</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>431,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1725, Class D, 7s,
      2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>80,325</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>84,366</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2008, Class G, 7s,
      2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>29,878</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>31,381</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1750, Class C, 7s,
      2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>179,937</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>188,990</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 1530, Class I, 7s,
      2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>189,363</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>198,891</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3065, Class DC, 6.752s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>920,474</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>890,374</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3050, Class SA, 5.952s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>644,273</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>605,230</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2515, Class IG, IO, 5 1/2s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,418,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>320,252</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2590, Class IH, IO, 5 1/2s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>729,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>135,869</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2833, Class IK, IO, 5 1/2s,
      2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>503,008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>59,707</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2828, Class TI, IO,
      2.681s, 2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>916,408</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>66,726</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3033, Class SF, IO,
      2.431s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,351,069</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>73,464</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3028, Class ES, IO,
      2.381s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4,343,740</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>356,187</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3045, Class DI, IO,
      2.361s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>13,653,338</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>692,224</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3054, Class CS, IO,
      2.331s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,035,674</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>61,208</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3066, Class SI, IO,
      2.331s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,942,147</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>238,314</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3031, Class BI, IO,
      2.321s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>863,074</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>61,969</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3067, Class SI, IO,
      2.281s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,387,735</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>275,423</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3065, Class DI, IO,
      2.251s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>666,118</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>49,692</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 3016, Class SP, IO,
      1.741s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>892,662</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>37,760</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2937, Class SY, IO,
      1.731s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>922,704</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>33,171</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>IFB Ser. 2815, Class S, IO,
      1.631s, 2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2,182,652</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>75,738</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 3045, Class DO, PO, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1,044,072</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>824,399</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 231, PO, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5,617,887</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,240,946</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 228, PO, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,602,828</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,839,205</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 227, PO, zero %,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3,571,601</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,613,868</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 215, PO, zero %,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>203,380</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>176,698</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>Ser. 2235, PO, zero %,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>222,889</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>186,357</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="63%"><FONT face=sans-serif
      size=2>FRB Ser. 3022, Class TC, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>204,441</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>226,674</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_8></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 2986, Class XT, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>116,979</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>123,888</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 3046, Class WF, zero %,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>293,645</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>287,199</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 3054, Class XF, zero %,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>123,722</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>124,711</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>GE Capital Commercial Mortgage
      Corp. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-1, Class F, 7.511s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>170,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>181,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-1, Class G, 6.131s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>596,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>555,353</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>GMAC Commercial Mortgage
      Securities, Inc. 144A Ser. 99-C3, Class G,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>6.974s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>529,968</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>515,633</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Government National Mortgage
      Association</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-66, Class SP,
      6.267s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>544,501</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>514,880</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-65, Class SI, IO,
      1.98s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,347,972</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>108,946</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-68, Class SI, IO,
      1.93s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,406,027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>388,816</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-51, Class SJ, IO,
      1.83s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,230,234</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>112,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IFB Ser. 05-68, Class S, IO,
      1.83s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,424,246</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>210,594</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 98-2, Class EA, PO, zero %,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>100,538</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>80,572</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>GS Mortgage Securities Corp. II
      144A FRB Ser. 03-FL6A, Class L, 7.619s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>214,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>214,268</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>LB Commercial Conduit Mortgage
      Trust 144A Ser. 99-C1, Class G, 6.41s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>253,101</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>240,041</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Lehman Brothers Floating Rate
      Commercial Mortgage Trust 144A FRB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-LLFA, Class L, 8.118s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>876,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>875,533</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Mach One Commercial Mortgage
      Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class J, 5.45s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>594,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>493,596</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class K, 5.45s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>212,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>172,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class L, 5.45s,
      2040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>96,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>70,286</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Merrill Lynch Mortgage
      Investors, Inc. Ser. 96-C2, Class JS, IO, 2.146s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>6,364,041</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>274,672</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Mezz Cap Commercial Mortgage
      Trust 144A Ser. 04-C1, Class X, IO,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>7.85s, 2037</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,019,802</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>402,145</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley Capital I Ser.
      98-CF1, Class E, 7.35s, 2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,252,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,351,765</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley Capital I 144A
      Ser. 04-RR, Class F7, 6s, 2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,730,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,261,170</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Mortgage Capital Funding,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 98-MC2, Class E,
      7.102s, 2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>327,112</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>341,261</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 97-MC2, Class X, IO, 1.22s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,875,842</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>39,744</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Permanent Financing PLC FRB Ser.
      8, Class 2C, 4.88s, 2042 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>499,936</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>PNC Mortgage Acceptance Corp.
      144A Ser. 00-C1, Class J, 6 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>123,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>116,807</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>QFA Royalties, LLC 144A Ser.
      05-1, 7.3s, 2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>658,074</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>652,851</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Quick Star PLC FRB Class 1-D,
      5.48s, 2011 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>445,794</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>765,206</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>SBA CMBS Trust 144A Ser. 05-1A,
      Class E, 6.706s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>303,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>305,198</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>STRIPS 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class M, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>162,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>134,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class N, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>193,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>146,605</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class M, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>174,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>144,665</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class N, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>167,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>126,855</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Titan Europe PLC
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-CT2A, Class E,
      5.687s, 2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>344,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>590,476</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-CT1A, Class D,
      5.645s, 2014 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>418,394</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>718,174</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-2A, Class D, 3.085s,
      2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,545</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>413,433</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-2A, Class C, 2.685s,
      2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>437,741</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>516,272</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>URSUS EPC 144A FRB Ser. 1-A,
      Class D, 5.49s, 2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>422,267</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>724,821</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Wachovia Bank Commercial
      Mortgage Trust 144A FRB Ser. 05-WL5A,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Class L, 7.669s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>477,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>476,461</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Total collateralized mortgage obligations (cost
      $98,151,697)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$97,706,104</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >FOREIGN GOVERNMENT BONDS AND NOTES
      (13.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Argentina (Republic of) FRB
      4.005s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$6,982,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$6,129,585</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Brazil (Federal Republic of)
      bonds 10 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,970,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,863,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Brazil (Federal Republic of)
      notes 11s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>8,832,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bulgaria (Republic of) 144A
      bonds 8 1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,220,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,470,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Canada (Government of) bonds
      Ser. WH31, 6s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>CAD</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,680,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,304,091</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Colombia (Republic of) notes
      10s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$3,715,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,420,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ecuador (Republic of) 9 3/8s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,119,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>France (Government of) bonds 4s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,730,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>5,868,647</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>France (Government of) Ser.OATe
      bonds 3s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,301,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>5,689,978</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Germany (Federal Republic of)
      bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>5,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,785,088</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Germany (Federal Republic of)
      bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>5,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,085,704</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Indonesia (Republic of) FRN
      3.813s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>183,613</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Indonesia (Republic of) 144A
      notes 7 1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>280,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>287,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ireland (Republic of) bonds 5s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9,881,308</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Japan (Government of) bonds Ser.
      5, 0.8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>330,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,780,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Russia (Ministry of Finance)
      debs. Ser. V, 3s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$2,445,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,313,704</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>South Africa (Republic of) notes
      7 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,495,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,659,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>South Africa (Republic of) notes
      6 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,330,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,439,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Spain (Government of) bonds
      5.4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,315,031</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Spain (Kingdom of) bonds 5s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,044,477</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Sweden (Government of) debs.
      Ser. 1041, 6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>SEK</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>30,690,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,822,037</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>United Mexican States notes 6
      5/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$7,770,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>8,488,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Venezuela (Republic of) notes 10
      3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,653,100</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Total foreign government bonds and notes (cost
      $89,963,812)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$91,438,243</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >ASSET-BACKED SECURITIES (12.9%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>ABSC NIMS Trust 144A Ser.
      03-HE5, Class A, 7s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$66,869</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$66,786</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Aegis Asset Backed Securities
      Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1N, Class Note, 5s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,332</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,331</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2N, Class N1, 4 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>39,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>39,595</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Americredit Automobile
      Receivables Trust 144A Ser. 05-1, Class E, 5.82s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>650,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>647,966</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ameriquest Finance NIM Trust
      144A Ser. 04-RN9, Class N2, 10s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>(Cayman Islands)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>302,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>271,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Arcap REIT, Inc.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class E, 7.11s,
      2038</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>383,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>393,970</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class E, 6.42s,
      2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>361,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>361,891</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Asset Backed Funding Corp. NIM
      Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-0PT5, Class N1, 4.45s,
      2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>47,969</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>47,847</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-FF1, Class N1, 5s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>46,082</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>46,016</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_9></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Aviation Capital Group Trust
      144A FRB Ser. 03-2A, Class G1, 5.07s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>287,615</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>288,042</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bank One Issuance Trust FRB Ser.
      03-C4, Class C4, 5.399s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>346,415</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bayview Financial Asset Trust
      144A Ser. 03-X, Class A, IO, 0.61s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>8,261,006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>144,568</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bear Stearns Alternate Trust
      Ser. 05-5, Class 21A1, 4.693s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,577,423</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,564,885</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bear Stearns Asset Backed
      Securities NIM Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE10, Class A1, 4 1/4s,
      2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>68,430</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>68,024</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE6, Class A1, 5 1/4s,
      2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>78,728</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>78,642</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE7N, Class A1, 5 1/4s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>64,793</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>64,722</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bear Stearns Asset Backed
      Securities, Inc. Ser. 04-FR3, Class M6,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>7.629s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>286,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>286,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Bombardier Capital Mortgage
      Securitization Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A2, 7.575s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>164,164</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>114,174</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A4, 8.29s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>599,775</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>426,590</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A3, 7.18s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,133,949</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>722,892</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A4, 7.3s,
      2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>771,822</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>547,032</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 00-A, Class A1, 4.28s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>172,523</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>87,987</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>CARSSX Finance, Ltd.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-AA, Class B3,
      7.719s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>85,434</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>86,171</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-AA, Class B4,
      9.869s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>180,214</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>190,794</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Chase Credit Card Master Trust
      FRB Ser. 03-3, Class C, 5.449s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>356,319</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>CHEC NIM Ltd., 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N1, 4.45s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>53,844</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>53,719</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N2, 8s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>94,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>92,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N3, 8s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>58,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>49,880</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Conseco Finance Securitizations
      Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-2, Class A4, 8.48s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>153,441</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>152,613</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A4, 7.73s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,028,874</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>977,018</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A5, 7.97s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>199,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A6, 8.31s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,412,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,898,835</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-6, Class A5, 7.27s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>101,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>94,086</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-6, Class M2, 8.2s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>218,269</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>8,731</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-1, Class A5, 6.99s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>897,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>828,290</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class A3, 5.79s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>9,023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>9,035</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class A4, 6.91s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,073,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,967,989</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class M2, 7.44s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>212,125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>26,516</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-4, Class A4, 7.36s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>268,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>265,722</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-4, Class B1, 9.4s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>263,715</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>35,602</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-1, Class A, 6.681s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,681,253</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,715,420</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 01-4, Class M1, 6.041s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>295,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>113,575</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Consumer Credit Reference IDX
      Securities 144A FRB Ser. 02-1A, Class</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>A, 6.501s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>790,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>793,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Countrywide Asset Backed
      Certificates 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-6N, Class N1, 6 1/4s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>388,160</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>387,384</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-BC1N, Class Note, 5
      1/2s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>47,633</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>47,462</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Countrywide Home Loans Ser.
      05-2, Class 2X, IO, 0.776s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>8,803,321</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>202,202</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Crest, Ltd. 144A Ser. 03-2A,
      Class E2, 8s, 2038 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>431,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>430,647</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>European Loan Conduit 144A FRB
      Ser. 22A, Class D, 5.503s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>(Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>507,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>870,266</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>First Chicago Lennar Trust 144A
      Ser. 97-CHL1, Class E, 7.688s, 2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,870,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,907,985</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>First Consumers Master Trust FRB
      Ser. 01-A, Class A, 4.68s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>87,613</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>87,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>First Franklin Mortgage Loan
      Asset Backed Certificates FRB Ser. 04-FF7,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Class A4, 4.679s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,761,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>6,769,275</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>First Franklin Mortgage Loan NIM
      Trust 144A Ser. 04-FF10, Class N1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>4.45s, 2034 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>81,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>80,771</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>First Horizon Mortgage
      Pass-Through Trust Ser. 05-AR2, Class 1A1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>4.831s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,644,380</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,632,398</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Fremont NIM Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class A, 4 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>121,476</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>120,739</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class B, 7 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>48,077</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>46,824</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Gears Auto Owner Trust Ser.
      05-AA, Class E1, 8.22s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>687,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>687,109</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Granite Mortgages
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 02-1, Class 1C, 5.474s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>443,572</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 03-2, Class 2C1, 5.2s,
      2043 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,430,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,787,735</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 03-2, Class 3C, 6.141s,
      2043 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,075,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,907,422</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Green Tree Financial
      Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 93-1, Class B, 8.45s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$842,021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>822,544</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 94-4, Class B2, 8.6s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>381,508</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>291,454</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 94-6, Class B2, 9s,
      2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>870,032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>750,616</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-4, Class B1, 7.3s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>371,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>366,456</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 95-8, Class B1, 7.3s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>362,579</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>282,178</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 96-8, Class M1, 7.85s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>387,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>332,359</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-3, Class A5, 6.16s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>55,557</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>55,904</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-3, Class A7, 6.74s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>733,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>702,265</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-5, Class A5, 7.86s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>4,480,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>3,960,103</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Greenpoint Manufactured
      Housing</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-3, Class IA, 8.45s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,948,765</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,847,673</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-5, Class A4, 7.59s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>99,560</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>102,071</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>GS Auto Loan Trust 144A Ser.
      04-1, Class D, 5s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>569,480</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>564,753</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>GSAMP Trust 144A</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-NIM1, Class N1, 5 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>288,054</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>287,939</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-NIM1, Class N2, zero %,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>519,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>382,244</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-NIM2, Class N, 4 7/8s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>457,074</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>455,109</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-SE2N, Class Note, 5
      1/2s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>296</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>296</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Guggenheim Structured Real
      Estate Funding, Ltd. FRB Ser. 05-1A, Class</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>E, 6.179s, 2030 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>371,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>369,405</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Guggenheim Structured Real
      Estate Funding, Ltd. 144A FRB Ser. 05-2A,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Class E, 6.379s, 2030 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>379,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>379,303</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>HASCO NIM Trust 144A Ser.
      05-OP1A, Class A, zero %, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>463,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>447,239</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Holmes Financing
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 4, Class 3C, 5.45s,
      2040 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>210,852</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 8, Class 2C, 4.87s,
      2040 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>235,799</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Home Equity Asset Trust 144A
      Ser. 02-5N, Class A, 8s, 2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>23,698</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>23,698</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>LNR CDO, Ltd. 144A FRB Ser.
      02-1A, Class FFL, 7.129s, 2037 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,259,899</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Long Beach Asset Holdings Corp.
      NIM Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N1, 4.94s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>978</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>978</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-5, Class Note, 5s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>53,624</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>53,490</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Long Beach Mortgage Loan
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class S1, IO, 4 1/2s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,025,613</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>33,589</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class S2, IO, 4 1/2s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>512,807</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>16,282</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Lothian Mortgages PLC 144A FRB
      Ser. 3A, Class D, 5.391s, 2039 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,560,607</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Madison Avenue Manufactured
      Housing Contract FRB Ser. 02-A, Class</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>B1, 7.629s, 2032</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$1,046,356</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>523,178</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_10></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>MASTR Asset Backed Securities
      NIM Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-CI5, Class N2, 9s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>143,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>143,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE1A, Class Note,
      5.191s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>59,050</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>59,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>MBNA Credit Card Master Note
      Trust FRB Ser. 03-C5, Class C5, 5.549s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>357,611</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Merrill Lynch Mortgage
      Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,390</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,379</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Merrill Lynch Mortgage
      Investors, Inc. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-FM1N, Class N1, 5s, 2035
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>34,602</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>34,613</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE1N, Class N1, 5s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>26,629</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>26,538</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Mid-State Trust Ser. 11, Class
      B, 8.221s, 2038</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>148,712</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>148,577</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley ABS Capital I FRB
      Ser. 04-HE8, Class B3, 7.579s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>214,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>213,528</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley Auto Loan Trust
      144A Ser. 04-HB2, Class E, 5s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>178,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>173,944</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley Dean Witter
      Capital I</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 01-NC3, Class B1,
      6.829s, 2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>65,844</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>65,844</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 01-NC4, Class B1,
      6.879s, 2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>82,209</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>82,289</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Morgan Stanley Mortgage Loan
      Trust Ser. 05-5AR, Class 2A1, 5.443s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,315,729</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,317,901</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Navistar Financial Corp. Owner
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-B, Class C, 3.93s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>127,044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>124,221</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 05-A, Class C, 4.84s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>286,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>282,571</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Oakwood Mortgage Investors,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A2, 7.765s,
      2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>195,732</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>161,219</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 00-D, Class A4, 7.4s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,022,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>702,860</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-C, Class A2, 5.92s,
      2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,094,783</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>610,528</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-D, Class A2, 5.26s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>180,387</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>126,151</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-D, Class A4, 6.93s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>828,953</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>623,443</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 01-E, Class A2, 5.05s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,329,414</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,033,435</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-A, Class A2, 5.01s,
      2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>398,712</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>315,899</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-B, Class A4, 7.09s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>443,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>397,243</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 02-C, Class A1, 5.41s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,665,665</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,445,696</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A4, 6.99s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,311,681</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,152,843</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 99-D, Class A1, 7.84s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,220,662</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,098,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Oakwood Mortgage Investors, Inc.
      144A Ser. 01-B, Class A4, 7.21s, 2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>269,950</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>245,724</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ocean Star PLC 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-A, Class E, 10.832s,
      2018 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>885,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>937,215</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 05-A, Class E, 8.896s,
      2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>238,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>237,881</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Park Place Securities, Inc. FRB
      Ser. 04-MCW1, Class A2, 4.759s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,030,661</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,035,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>People's Choice Net Interest
      Margin Note 144A Ser. 04-2, Class B, 5s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>85,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Permanent Financing
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 1, Class 3C, 5.68s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>350,416</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 3, Class 3C, 5.63s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>355,364</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 6, Class 3C, 5.321s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>887,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,522,536</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Residential Asset Securities
      Corp. Ser. 01-KS3, Class AII, 4.609s, 2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$4,946,578</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,947,365</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Residential Asset Securities
      Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>168,885</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>168,251</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Residential Mortgage Securities
      144A FRB Ser. 20A, Class B1A, 5.356s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2038 (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>256,110</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Rural Housing Trust Ser. 87-1,
      Class D, 6.33s, 2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>55,231</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>55,757</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>SAIL Net Interest Margin Notes
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-10A, Class A, 7 1/2s,
      2033 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>57,087</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>49,138</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-3, Class A, 7 3/4s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>22,657</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>19,765</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-4, Class A, 7 1/2s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,744</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,636</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-5, Class A, 7.35s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>24,523</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>20,604</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-6A, Class A, 7s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,939</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,270</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-7A, Class A, 7s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>27,646</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>23,511</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-8A, Class A, 7s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,993</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,298</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-9A, Class A, 7s, 2033
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>14,498</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7,811</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-BC2A, Class A, 7 3/4s,
      2033 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>75,194</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>33,566</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-10A, Class A, 5s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>249,139</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>248,108</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-4A, Class A, 5s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>77,823</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>77,680</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-7A, Class A, 4 3/4s,
      2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>51,051</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>50,904</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-8A, Class A, 5s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>120,025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>119,696</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-AA, Class A, 4 1/2s,
      2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>81,043</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>80,593</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Sasco Net Interest Margin Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-BC1, Class B, zero %,
      2033 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>273,210</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>81,963</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 05-WF1A, Class A, 4 3/4s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>269,640</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>267,997</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Sharps SP I, LLC Net Interest
      Margin Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-FM1N, Class N, 6.16s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>947</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HS1N, Class Note, 5.92s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,146</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7,146</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-HE2N, Class NA, 5.43s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>31,758</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>31,441</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-OP1N, Class N, 4.45s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,907</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,907</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>South Coast Funding 144A FRB
      Ser. 3A, Class A2, 5.51s, 2038 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>140,406</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Structured Asset Investment Loan
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-BC1A, Class A, 7 3/4s,
      2033 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>20,955</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>20,955</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>FRB Ser. 04-9, Class A4, 4.679s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>6,811,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,818,685</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Structured Asset Receivables
      Trust 144A FRB Ser. 05-1, 4.681s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,800,512</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,774,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>TIAA Real Estate CDO, Ltd. 144A
      Ser. 02-1A, Class IV, 6.84s, 2037</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>(Cayman Islands)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>366,499</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>TIAA Real Estate CDO, Ltd. Ser.
      03-1A, Class E, 8s, 2038 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>467,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>455,961</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Wells Fargo Home Equity Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N1, 4.45s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>198,980</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>196,596</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N2, 8s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>214,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>209,724</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Wells Fargo Mortgage Backed
      Securities Trust Ser. 05-AR13, Class 1A4,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>IO, 0.742s, 2035</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>16,697,696</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>130,409</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Whinstone Capital Management,
      Ltd. 144A FRB Ser. 1A, Class B3, 5.19s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>2044 (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>733,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>732,840</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Whole Auto Loan Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 03-1, Class D, 6s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>147,946</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>147,809</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Ser. 04-1, Class D, 5.6s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>345,273</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>342,736</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Total asset-backed securities (cost
      $91,561,968)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$89,627,513</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >SENIOR LOANS (8.6%)(a)(c)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Basic Materials (0.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Graphic Packaging Corp. bank
      term loan FRN Ser. C, 6.592s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$131,094</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$132,569</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_11></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Hercules, Inc. bank term loan
      FRN Ser. B, 5.856s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>370,422</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>374,312</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Huntsman International Corp.
      bank term loan FRN Ser. B, 6.12s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>796,423</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>800,032</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Innophos, Inc. bank term loan
      FRN 6.378s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>298,421</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>301,405</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Mosaic Co. (The) bank term loan
      FRN Ser. B, 5.939s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>198,998</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>200,490</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Nalco Co. bank term loan FRN
      Ser. B, 6.319s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,218,142</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,232,760</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Novelis, Inc. bank term loan FRN
      6.011s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>464,833</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>469,409</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Novelis, Inc. bank term loan FRN
      Ser. B, 6.011s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>807,638</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>815,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Rockwood Specialties Group, Inc.
      bank term loan FRN Ser. D, 6.466s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,395,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,409,168</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >5,735,733</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Capital Goods (0.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Allied Waste Industries, Inc.
      bank term loan FRN Ser. A, 3.864s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>218,052</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>219,143</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Allied Waste Industries, Inc.
      bank term loan FRN Ser. B, 6.177s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>577,054</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>579,808</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Amsted Industries, Inc. bank
      term loan FRN 6.645s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>167,554</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>169,719</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Graham Packaging Co., Inc. bank
      term loan FRN Ser. B, 6.479s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>397,990</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>402,343</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Hexcel Corp. bank term loan FRN
      Ser. B, 5 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>796,424</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>803,060</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Invensys, PLC bank term loan FRN
      Ser. B-1, 7.791s, 2009 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>67,660</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>68,759</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Mueller Group, Inc. bank term
      loan FRN Ser. B, 6.508s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>798,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>806,978</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Polypore, Inc. bank term loan
      FRN 7.22s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>711,411</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>706,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Solo Cup Co. bank term loan FRN
      6.622s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>147,375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>148,265</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Terex Corp. bank term loan FRN
      6.415s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>149,612</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>151,202</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Terex Corp. bank term loan FRN
      Ser. C, 6.915s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>748,067</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>756,483</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Transdigm, Inc. bank term loan
      FRN Ser. C, 6.58s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>494,468</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>500,031</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >5,311,866</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Communication Services (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Centennial Cellular Operating
      Co., LLC bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>6.391s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>973,277</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>984,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Consolidated Communications
      Holdings bank term loan FRN Ser. D,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>5.917s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>124,255</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>125,083</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Fairpoint Communications, Inc.
      bank term loan FRN Ser. B, 5.813s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>543,116</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>544,474</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Madison River Capital, LLC. bank
      term loan FRN Ser. B, 6.59s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>796,423</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>807,374</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Qwest Communications
      International, Inc. bank term loan FRN Ser. A,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>9.02s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>78,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>79,736</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Syniverse Holdings, Inc. bank
      term loan FRN Ser. B, 5.78s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>558,662</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>564,947</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Valor Telecommunications
      Enterprises LLC/Finance Corp. bank term loan</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>FRN Ser. B, 5.809s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>543,333</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>544,776</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >3,650,465</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Consumer Cyclicals (2.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Adams Outdoor Advertising, LP
      bank term loan FRN 6.2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>847,768</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>858,365</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Affinion Group, Inc. bank term
      loan FRN Ser. B, 7.1s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>888,372</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>871,715</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>BLB (Wembley) bank term loan FRN
      6.081s, 2011 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>149,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>151,582</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Borgata Resorts bank term loan
      FRN Ser. B, 5.91s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>396,992</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>399,308</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>CCM Merger, Inc. bank term loan
      FRN Ser. B, 6.489s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>995,001</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,000,722</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Coinmach Service Corp. bank term
      loan FRN Ser. B, 6.565s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>253,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Cooper Tire &amp; Rubber Co.
      bank term loan FRN Ser. B, 6.063s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>379,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>379,405</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Cooper Tire &amp; Rubber Co.
      bank term loan FRN Ser. C, 6.063s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>610,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>610,347</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dex Media West, LLC/Dex Media
      Finance Co. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>6.04s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>140,547</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>141,170</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Dex Media West, LLC/Dex Media
      Finance Co. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>5.565s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>601,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Goodman Global Holdings bank
      term loan FRN Ser. B, 6 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>713,886</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>723,404</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Goodyear Tire &amp; Rubber Co.
      (The) bank term loan FRN 7.06s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>196,178</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Hayes Lemmerz International,
      Inc. bank term loan FRN 7.524s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>133,390</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>131,532</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Jostens IH Corp. bank term loan
      FRN Ser. C, 5.94s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>938,506</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>950,237</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Journal Register Co. bank term
      loan FRN Ser. B, 5.686s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>501,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Landsource, Inc. bank term loan
      FRN Ser. B, 6 7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>50,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Masonite International Corp.
      bank term loan FRN 6.203s, 2013 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>669,678</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>662,214</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Masonite International Corp.
      bank term loan FRN Ser. B, 6.203s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>(Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>670,819</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>663,342</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Neiman Marcus Group, Inc. bank
      term loan FRN Ser. B, 6.947s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>503,414</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Penn National Gaming, Inc. bank
      term loan FRN Ser. B, 6.29s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>199,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>201,682</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>PRIMEDIA, Inc. bank term loan
      FRN Ser. B, 6.561s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>147,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>R.H. Donnelley Finance Corp.
      bank term loan FRN Ser. D, 6.08s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>213,122</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>214,003</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>R.H. Donnelley Finance Corp.
      bank term loan FRN Ser. D, 5.696s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>502,068</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>R.H. Donnelley Finance Corp.
      bank term loan FRN Ser. D1, 5.565s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>401,072</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Raycom Media, Inc. bank term
      loan FRN Ser. B, 6.063s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>1,300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,300,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Resorts International Hotel and
      Casino, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>6.03s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>537,302</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>538,309</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Sealy Mattress Co. bank term
      loan FRN Ser. D, 6.132s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>473,355</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>478,089</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Trump Hotel &amp; Casino Resort,
      Inc. bank term loan FRN Ser. B, 7.169s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>174,125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>176,157</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Trump Hotel &amp; Casino Resort,
      Inc. bank term loan FRN Ser. DD, 5.62s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2012 (U)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>177,042</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>TRW Automotive, Inc. bank term
      loan FRN Ser. B, 5 1/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>521,528</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>522,832</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>TRW Automotive, Inc. bank term
      loan FRN Ser. B2, 5.565s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>120,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Venetian Casino Resort, LLC bank
      term loan FRN Ser. B, 5.77s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>664,302</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>668,142</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Venetian Casino Resort, LLC bank
      term loan FRN Ser. DD, 5.77s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>136,969</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>137,761</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>William Carter Holdings Co.
      (The) bank term loan FRN Ser. B, 5.717s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>86,230</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>87,020</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >15,321,076</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=2
     >Consumer Staples (2.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Affinity Group Holdings bank
      term loan FRN Ser. B1, 6.613s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>34,132</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>34,388</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Affinity Group Holdings bank
      term loan FRN Ser. B2, 6.768s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>84,957</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>85,594</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>AMF Bowling Worldwide bank term
      loan FRN Ser. B, 7.281s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>104,013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>104,728</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Ashtead Group PLC bank term loan
      FRN Ser. B, 6 1/8s, 2009 (United</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>247,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>249,047</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Burger King Corp. bank term loan
      FRN Ser. B, 5.83s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>151,240</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>152,894</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=2>Century Cable Holdings bank term
      loan FRN 9 1/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif
      size=2>900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>876,188</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_12></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Charter Communications PLC bank
      term loan FRN Ser. B, 7 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>(United Kingdom)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>829,158</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>830,907</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Cinemark, Inc. bank term loan
      FRN Ser. C, 6.534s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>249,367</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>251,861</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Constellation Brands, Inc. bank
      term loan FRN Ser. B, 5.659s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>796,424</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>804,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>DirecTV Holdings, LLC bank term
      loan FRN Ser. B, 5.87s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>733,333</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>739,406</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Dole Food Co., Inc. bank term
      loan FRN Ser. B, 5.877s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>245,641</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>246,255</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Gray Television, Inc. bank term
      loan FRN Ser. B, 5.71s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>150,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Insight Midwest LP/Insight
      Capital, Inc. bank term loan FRN 6.063s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>68,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>69,415</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Intelsat Bermuda, Ltd. bank term
      loan FRN Ser. B, 5.813s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>(Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>598,492</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>603,543</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Jack-in-the-Box, Inc. bank term
      loan FRN 5.689s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>198,485</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>200,139</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Jean Coutu Group, Inc. bank term
      loan FRN Ser. B, 6 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>(Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>536,668</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>541,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Loews Cineplex Entertainment
      Corp. bank term loan FRN Ser. B, 6.449s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>543,016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>544,628</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Mediacom Communications Corp.
      bank term loan FRN Ser. B, 6.533s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>990,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,002,066</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>MGM Studios, Inc. bank term loan
      FRN Ser. B, 6.27s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>905,318</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Olympus Cable Holdings, LLC bank
      term loan FRN Ser. B, 9 1/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>486,429</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>PanAmSat Corp. bank term loan
      FRN Ser. B1, 6.489s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>976,960</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>987,626</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Pinnacle Foods Holding Corp.
      bank term loan FRN 7.307s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>678,604</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>686,238</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Regal Cinemas, Inc. bank term
      loan FRN Ser. B, 6.02s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>541,638</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>547,280</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Six Flags, Inc. bank term loan
      FRN Ser. B, 6.67s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>430,967</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>435,508</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Spanish Broadcasting Systems,
      Inc. bank term loan FRN 6.03s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>448,872</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>454,670</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Spectrum Brandd, Inc. bank term
      loan FRN Ser. B, 6.4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>794,620</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>797,931</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Sun Media Corp. bank term loan
      FRN Ser. B, 6.243s, 2009 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>151,166</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>151,418</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Universal City Development bank
      term loan FRN Ser. B, 6.237s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>1,037,515</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,049,187</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Warner Music Group bank term
      loan FRN Ser. B, 6.415s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>344,936</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>348,262</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Young Broadcasting, Inc. bank
      term loan FRN Ser. B, 6.7s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>794,427</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>797,158</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >15,134,435</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Energy (0.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Dresser, Inc. bank term loan FRN
      7.99s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>182,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Key Energy Services, Inc. bank
      term loan FRN Ser. B, 7.183s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>910,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Petroleum Geo-Services ASA bank
      term loan FRN Ser. B, 7s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>(Norway)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>100,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Targa Resources, Inc. bank term
      loan FRN 6.634s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>639,526</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>644,323</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Targa Resources, Inc. bank term
      loan FRN 4.083s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>153,871</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>155,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Universal Compression, Inc. bank
      term loan FRN Ser. B, 5.59s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>348,124</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>350,996</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >2,344,607</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Financial (0.4%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Capital Automotive bank term
      loan FRN 5.815s, 2010 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>1,150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,153,954</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Fidelity National Information
      Solutions bank term loan FRN Ser. B, 6.11s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>797,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>799,989</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Hilb, Rogal &amp; Hamilton Co.
      bank term loan FRN Ser. B, 6.313s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>215,214</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>217,366</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>NASDAQ, Inc bank term loan FRN
      Ser. B, 5.565s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>351,896</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >2,523,205</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Health Care (0.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Aaccellent Corp. bank term loan
      FRN Ser. B, 6.394s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>254,844</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Alderwoods Group, Inc. bank term
      loan FRN 6.245s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>667,011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>673,264</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Beverly Enterprises, Inc. bank
      term loan FRN 6.577s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>122,187</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>122,417</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Community Health Systems, Inc.
      bank term loan FRN Ser. B, 6.16s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>316,992</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>320,757</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>DaVita, Inc. bank term loan FRN
      Ser. B, 6.409s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>910,463</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>921,971</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Hanger Orthopedic Group, Inc.
      bank term loan FRN 8.271s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>97,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>98,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Kinetic Concepts, Inc. bank term
      loan FRN Ser. B, 5.78s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>65,596</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>66,115</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>LifePoint, Inc. bank term loan
      FRN Ser. B, 6.185s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>930,630</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>935,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Mylan Laboratories, Inc. bank
      term loan FRN Ser. B, 5.4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>349,125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>353,198</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Veterinary Centers of America,
      Inc. bank term loan FRN Ser. B, 5 3/4s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>337,724</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>341,101</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >4,087,670</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Technology (0.4%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>AMI Semiconductor, Inc. bank
      term loan FRN 5.72s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>943,998</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>947,932</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Avago, Inc. Ser. DD, 6.565s,
      2012 (Singapore)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>150,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Avago, Inc. bank term loan FRN
      Ser. B, 6.565s, 2012 (Singapore)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>351,531</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>SunGard Data Systems, Inc. bank
      term loan FRN Ser. B, 6.81s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>794,427</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>798,978</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>UGS Corp. bank term loan FRN
      Ser. C, 6.22s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>464,828</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>470,057</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Xerox Corp. bank term loan FRN
      5.97s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>201,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >2,920,248</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Transportation (0.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Travelcenters of America bank
      term loan FRN Ser. B, 5.926s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>550,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >555,088</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Utilities &amp; Power (0.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Allegheny Energy, Inc. bank term
      loan FRN Ser. C, 5.86s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>323,446</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>326,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>El Paso Corp. bank term loan FRN
      3.764s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>208,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>208,491</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>El Paso Corp. bank term loan FRN
      Ser. B, 6.813s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>781,060</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>784,098</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Texas Genco Holdings, Inc. bank
      term loan FRN Ser. DD, 6.374s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>694,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>695,727</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Williams Cos., Inc. (The) bank
      term loan FRN Ser. C, 6 5/8s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>117,012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>118,109</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >2,133,375</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >Total senior loans (cost $59,679,384)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$59,717,768</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=2
     >PREFERRED STOCKS (0.2%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>Dobson Communications Corp.
      13.00% pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$5,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=2>First Republic Capital Corp.
      144A 10.50% pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=2>320</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>352,000</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_13></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Paxson Communications Corp. 14.25% cum.
      pfd. (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >313,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Rural Cellular Corp. Ser. B, 11.375%
      cum. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >426</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >489,900</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total preferred stocks
      (cost $1,005,917)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2

     >$1,160,500</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >UNITS
      (0.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
   ></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Units</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Morrison Knudsen Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >870,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >$51,330</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >XCL Equity Units (F)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >991</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >675,285</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total units (cost
      $1,729,902)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2
     >$726,615</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >CONVERTIBLE PREFERRED
      STOCKS (0.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
   ></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Emmis Communications Corp. Ser. A,
      $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >2,441</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >$103,132</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Paxson Communications Corp. 144A 9.75%
      cv. pfd. (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >59</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >407,100</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total convertible
      preferred stocks (cost $572,302)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2
     >$510,232</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >COMMON STOCKS
      (0.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
   ></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >AMRESCO Creditor Trust (acquired
      6/17/99 and 2/10/00, cost $59,717)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >(F)(RES)(NON)(R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >820,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >$820</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Comdisco Holding Co., Inc.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >504</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >9,576</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Contifinancial Corp. Liquidating Trust
      Units</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >3,445,121</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >42,420</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Crown Castle International Corp.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >497</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >13,374</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Dobson Communications Corp.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >1,857</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >13,928</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Genesis HealthCare Corp.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >903</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >32,978</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >iPCS, Inc. (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >290</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >13,993</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Knology, Inc. (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >199</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >748</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Northwestern Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >3,774</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >117,258</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Sterling Chemicals, Inc.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >110</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >1,265</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Sun Healthcare Group, Inc.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >740</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >4,891</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >USA Mobility, Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >333</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >VFB LLC (acquired 10/27/00, cost
      $594,553) (F)(RES)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >948,004</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >20,145</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >WHX Corp. (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >18,832</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >191,145</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total common stocks (cost
      $3,952,490)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2
     >$462,874</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >WARRANTS
      (0.0%)(a)(NON)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ></TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >Expiration date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT size=2>Strike</FONT>&nbsp;<FONT
      size=2>price</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Warrants</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     ><FONT size=2>
      <HR noShade SIZE=1>
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Dayton Superior Corp. 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >6/15/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >.01</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >1,020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >$10</FONT>&nbsp; </TD></TR>

    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >MDP Acquisitions PLC 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >10/01/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >EUR.001</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >508</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >14,224</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Mikohn Gaming Corp. 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >8/15/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >7.70</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >390</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >3,307</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >TravelCenters of America, Inc.
     </FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >5/01/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >.001</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >1,830</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >2,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Ubiquitel, Inc. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >4/15/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >22.74</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >1,670</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >17</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total warrants (cost
      $116,451)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2
     >$19,846</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >EQUITY VALUE CERTIFICATES
      (--%)(a)(NON) (cost $55,184)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="65%" colSpan=2
   ></TD>
    <TD width="7%"></TD>
    <TD width="27%" colSpan=2
   ></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >Maturity date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Certificates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
   >
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >ONO Finance PLC 144A (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >3/16/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >400</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >4</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >SHORT-TERM INVESTMENTS
      (14.9%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Principal</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >amount/shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >Putnam Prime Money Market Fund
      (e)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >102,603,617</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >$102,603,617</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><FONT face=sans-serif size=2
     >U.S. Treasury Bills for an effective
      yield of 3.55 %, 1/26/06 (SEG)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >$1,170,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >1,167,160</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total short-term
      investments (cost $103,770,777)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2

     >$103,770,777</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=5
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >TOTAL
      INVESTMENTS</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="52%"
   ><B><FONT face=sans-serif size=2
     >Total investments (cost
      $770,099,136) (b)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><B><FONT face=sans-serif size=2

     >$765,102,471</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_14></A>
<P align=left><FONT face=sans-serif size=5
>Putnam Master Intermediate Income Trust</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>FORWARD CURRENCY CONTRACTS TO BUY at 12/31/05 (aggregate face value
$59,646,937) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="35%">&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%">&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Aggregate&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%" background=""><FONT
      size=2>Delivery</FONT>&nbsp;</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%">&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>face value </FONT></TD>
    <TD noWrap align=left width="8%" background=""><FONT
      size=2>date</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Australian Dollar</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>$8,662,498</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$8,717,229</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>1/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$ (54,731)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>British Pound</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>3,456,723</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,507,697</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(50,974)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Canadian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>5,263,123</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>5,265,004</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>1/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(1,881)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Danish Krone</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>1,114,252</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,110,344</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,908</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Euro</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>6,907,558</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,975,761</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(68,203)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Japanese Yen</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>19,349,263</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>19,436,470</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>2/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(87,207)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Polish Zloty</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>551,477</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>548,184</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,293</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>South Korean Won</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>14,971</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>14,456</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>2/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>515</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Swedish Krona</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>3,482,193</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3,482,779</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(586)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><FONT face=sans-serif
      size=2>Swiss Franc</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>10,531,907</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>10,589,013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(57,106)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$(312,972)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_15></A>
<P align=left><FONT face=sans-serif size=5
>Putnam Master Intermediate Income Trust</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>FORWARD CURRENCY CONTRACTS TO SELL at 12/31/05 (aggregate face
value $103,282,781) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>Aggregate </FONT></TD>
    <TD noWrap align=left width="9%" background=""><FONT
      size=2>Delivery</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>face value&nbsp;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="9%" background=""><FONT
      size=2>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Australian Dollar</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>$ 5,747,969</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>$5,795,678</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>1/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>$ 47,709</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>British Pound</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>11,392,844</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>11,511,381</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>118,537</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Canadian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>9,018,731</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>8,988,857</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>1/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>(29,874)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Euro</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>39,158,974</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>39,257,609</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>98,635</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Japanese Yen</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>10,659,636</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>10,595,716</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>2/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>(63,920)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Norwegian Krone</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>11,492,595</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>11,527,804</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>35,209</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Swedish Krona</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>11,982,476</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>11,989,057</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>6,581</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>Swiss Franc</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif
      size=2>3,577,073</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>3,616,679</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=2>3/15/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>39,606</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>$252,483</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_16></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="69%" colSpan=3><FONT
      face=sans-serif size=5>Putnam Master
      Intermediate Income Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="69%" colSpan=3><B><FONT
      face=sans-serif size=2
     >FUTURES CONTRACTS OUTSTANDING at 12/31/05
      (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>Number of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Expiration</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>Value&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%" background=""><FONT
      size=2>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Euro 90 day (Short)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>757</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>$180,260,625</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$8,043</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Euro 90 day (Long)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>757</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>180,080,838</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Jun-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(34,788)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Euro-Bobl 5 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>96</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>12,783,938</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(25,195)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Euro-Bund 10 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>96</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>13,795,013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(80,667)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Euro-Schatz 2 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,490,077</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(3,433)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>Japanese Government Bond - TSE
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>13,966,613</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>76,219</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>U.K. Gilt 10 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>22</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>4,321,974</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>42,982</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>U.S. Treasury Bond 20 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>161</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>18,384,188</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(206,375)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>U.S. Treasury Note 10 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>618</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>67,613,063</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(209,465)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>U.S. Treasury Note 2 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>55</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>11,285,313</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>14,445</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif
      size=2>U.S. Treasury Note 5 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>215</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>22,863,906</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Mar-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>(19,600)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$(437,834)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_17></A>
<P align=left><FONT face=sans-serif size=5
>Putnam Master Intermediate Income Trust</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>TBA SALE COMMITMENTS OUTSTANDING at 12/31/05 (proceeds receivable
$31,707,613) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="43%">&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>Principal&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%" background=""><FONT
      size=2>Settlement</FONT>&nbsp;</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Agency</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>amount&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%" background=""><FONT
      size=2>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=4
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>FNMA, 5 1/2s, January 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>$20,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/12/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>$20,001,155</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>FNMA, 5s, January 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>7,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/12/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>6,780,157</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>FNMA, 4 1/2s, January 1,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>5,100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>4,959,750</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>$31,741,062</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_18></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=5>Putnam Master Intermediate
      Income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=5>Trust - Fund 074</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4></TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >INTEREST RATE SWAP CONTRACTS OUTSTANDING at
      12/31/05</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><B><FONT
      face=sans-serif size=2
     >(Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Notional&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%" background=""><FONT
      size=2>Termination</FONT>&nbsp;</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>amount&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%" background=""><FONT
      size=2>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=4
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>September 28, 2005 to receive
      annually the notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by 3.734% and pay semi-annually
      the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the six month
      EURIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>$11,022,426</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9/30/35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>($12,050)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. dated January 22, 2004 to pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by 4.35% and receive</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>quarterly the notional amount
      multiplied by the three month USD-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>4,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/27/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>114,572</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. dated January 22, 2004 to pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by 1.97375% and receive</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>quarterly the notional amount
      multiplied by the three month USD-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>13,900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/26/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>14,737</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. dated March 25, 2004</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>to pay semi-annually the
      notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>3.075% and receive quarterly the
      notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by the three month
      USD-LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>16,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3/30/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>756,813</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Citibank, N.A.
      dated July 20, 2005 to receive annually</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the notional amount multiplied
      by 3.52% and pay semi-annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      the six month NOKDOM-NIBR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,836,665</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/22/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(27,522)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Citibank, N.A.
      dated July 20, 2005 to pay annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      2.825% and receive semi-annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      the six month EURIBOR-T248.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,762,760</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/22/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>32,634</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>September 28, 2005 to pay
      annually the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>3.2385% and receive
      semi-annually the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the six month
      EURIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>31,218,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9/30/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>375,818</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>December 9, 2003 to receive
      semi-annually the notional amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>multiplied by 4.641% and pay
      quarterly the notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by the three month
      USD-LIBOR-BBA.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>9,188,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>12/15/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(160,602)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Credit Suisse
      First Boston International dated July 7,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2004 to receive semi-annually
      the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2.931% and pay quarterly the
      notional amount multiplied by the three</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>month USD-LIBOR.</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>5,048,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/9/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(24,814)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Credit Suisse
      First Boston International dated July 7,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2004 to pay semi-annually the
      notional amount multiplied by 4.945%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>and receive quarterly the
      notional amount multiplied by the three</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>month USD-LIBOR.</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>5,699,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/9/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(90,825)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan Chase
      Bank, N.A. dated June 15, 2005 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>pay semi-annually the notional
      amount multiplied by 4.0825% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>receive quarterly the notional
      amount multiplied by the three month</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>USD-LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>134,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6/17/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,467,707</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan Chase
      Bank, N.A. dated June 15, 2005 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>receive semi-annually the
      notional amount multiplied by 4.5505% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>pay quarterly the notional
      amount multiplied by the three month USD-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>30,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6/17/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(862,411)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services, Inc. dated February 16,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2005 to receive semi-annually
      the notional amount multiplied by the six</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>month EURIBOR and pay annually
      the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2.5645%.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>59,061,170</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2/19/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(630,735)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>January 22, 2004 to pay
      semi-annually the notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by 4.3375% and receive quarterly
      the notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the three month
      USD-LIBOR-BBA.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>4,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/26/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>118,461</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>January 22, 2004 to pay
      semi-annually the notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by 1.955% and receive quarterly
      the notional amount multiplied by the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>three month
      USD-LIBOR-BBA.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>13,900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1/26/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>15,998</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Citibank N.A.
      dated July 12, 2005 to pay annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      2.7515% and receive semi-annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      the six month EURIBOR-T248.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>7,074,840</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/14/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>103,842</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Citibank, N.A.
      dated July 12, 2005 to receive annually</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the notional amount multiplied
      by 3.4% and pay semi-annually the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>notional amount multiplied by
      the six month NOKDOM-NIBR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>7,334,888</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/14/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(103,351)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services Inc. dated July 22, 2005</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>to receive annually the notional
      amount multiplied by 3.54% and pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by the six month NIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>4,262,704</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/26/05</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(37,437)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan Chase
      Bank, N.A. dated August 31, 2005 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>receive semi-annually the
      notional amount multiplied by 4.4505% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>pay quarterly the notional
      amount multiplied by the three month USD-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>LIBOR-BBA.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>25,100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9/2/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(654,406)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. dated August 30, 2005</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>to receive semi-annually the
      notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>4.53% and pay quarterly the
      notional amount multiplied by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>the three month
      USD-LIBOR-BBA.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>10,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9/1/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(197,075)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services, Inc. dated July 22,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>2005 to pay annually the
      notional amount multiplied by 2.801% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>receive semi-annually the
      notional amount multiplied by the six month</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>EURIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>4,239,550</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>7/26/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>53,103</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="59%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. dated</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>September 28, 2005 to receive
      annually the notional amount multiplied</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>by 2.47% and pay semi-annually
      the notional amount multiplied by the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"><FONT face=sans-serif
      size=2>six month EURIBOR.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>60,035,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>9/28/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>(443,726)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_19></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services, Inc. dated October 5,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>2005 to pay annually the
      notional amount multiplied by 3.2685% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>receive semi-annually the
      notional amount multiplied by the six month</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>EUR-EURIBOR-BBAM</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>17,929,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10/7/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>177,888</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services, Inc. dated October 5,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>2005 to receive annually the
      notional amount multiplied by 3.736% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>pay semi-annually the notional
      amount multiplied by the six month</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>EUR-EURIBOR-BBAM.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,454,620</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10/7/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>(6,981)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      Capital Services, Inc. dated October 5,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>2005 to receive annually the
      notional amount multiplied by 2.526% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>pay semi-annually the notional
      amount multiplied by the six month</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2
     >EUR-EURIBOR-Telerate.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>35,859,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10/7/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>(238,154)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Credit Suisse
      First Boston dated November 18, 2005</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>to receive annually the notional
      amount multiplied by 2.71% and pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by the six month CHF-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>4,340,647</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>11/18/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>88,261</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Credit Suisse
      First Boston dated November 18, 2005</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>to receive annually the notional
      amount multiplied by 1.72% and pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by the six month CHF-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>35,456,533</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>11/18/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>49,708</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Credit Suisse
      First Boston dated November 18, 2005</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>to pay annually the notional
      amount multiplied by 2.33% and receive</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>semi-annually the notional
      amount multiplied by the six month CHF-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>LIBOR.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>17,330,921</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>11/18/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>(88,970)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Citibank N.A.
      dated December 14, 2005 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>receive annually the notional
      amount multiplied by 3.485%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>and pay semi-annually the
      notional amount multiplied by the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>six month
      EURIBOR-T248.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>19,244,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>12/16/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>82,712</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="62%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>Agreement with Citibank N.A.
      dated December 14, 2005 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>pay annually the notional amount
      multiplied by 2.973% and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>receive semi-annually the
      notional amount multiplied by the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><FONT face=sans-serif
      size=2>six month
      EURIBOR-T248.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>90,210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>12/17/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>70,065</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="62%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>$(56,738)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<A name=page_20></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="84%" colSpan=3
   ><FONT face=sans-serif color=#dd0806 size=5

     ><FONT color=#000000><FONT face=sans-serif
      color=#dd0806 size=5
     ><FONT color=#000000>Putnam Master Intermediate
      Income Trust - Fund 074</FONT></FONT><FONT face=sans-serif size=5
     ></FONT>&nbsp;</FONT></FONT> </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4
     >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%" colSpan=2
   ><B><FONT face=sans-serif size=2
     >TOTAL RETURN SWAP
      CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >Notional&nbsp;</FONT> </TD>
    <TD noWrap align=left width="12%" background=""
   ><FONT
      size=2>Termination</FONT>&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >appreciation</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >amount&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%" background=""
   ><FONT
    size=2>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     ></FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >Agreement with Goldman Sachs dated December 23, 2005
      to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >receive/(pay) a premium based on the difference
      between the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >market price of Ford Credit Auto Owner Trust Series
      2005-B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >Class D and par on day of execution and receive
      monthly the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >notional amount multiplied by 678 basis points and
      pay</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >monthly the one month USD-LIBOR. At
      maturity/termination</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >the fund receives the coupon and price appreciation
      of Ford</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >Credit Auto Owner Trust 2005-B Class D and pays the
      one</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >month USD LIBOR and the price depreciation of Ford
      Credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="59%"
   ><FONT face=sans-serif size=2
     >Auto Owner Trust 2005-B Class D.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=2
     >$1,345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=2
     >9/15/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=2
     >$7,935</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_21></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=5>Putnam Master Intermediate
      Income Trust - Fund 074</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><B><FONT
      face=sans-serif size=2
     >CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/05
      (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 7, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2015, to receive quarterly
      70.5 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 10-15% tranche, the fund
      makes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>a payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 10-15%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>$1,151,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>12,572</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 7, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2015, to receive/(pay) a
      premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and pay quarterly 65 basis points times the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of a reference entity within the DJ IG CDX Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ IG
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,151,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(2,528)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on November 16, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2012, to receive
      quarterly 305 basis points times the notional amount. Upon a</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>credit default event of a
      reference entity within the DJ IG CDX Series 5 Index 3-7% tranche,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>fund makes a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ IG CDX Series 5 Index
      3-7%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,623,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>67,723</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on November 30, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2012, to receive
      quarterly 30 basis points times the notional amount. Upon a
      credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>default event of a reference
      entity within the DJ IG CDX Series 5 Index 10-15% tranche, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>makes a payment of the
      proportional notional amount times the difference between the par
      value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the then-market value of the
      reference entity within the DJ IG CDX Series 5 Index 10-15%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,391,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>970</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on November 30, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2012, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 55 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the DJ IG
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      DJ</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>IG CDX Series 5
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,195,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(2,647)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on December 8, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2012, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 55 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the DJ IG
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      DJ</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>IG CDX Series 5
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(2,658)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on December 8, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2012, to receive
      quarterly 29 basis points times the notional amount. Upon a
      credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>default event of a reference
      entity within the DJ IG CDX Series 5 Index 10-15% tranche, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>makes a payment of the
      proportional notional amount times the difference between the par
      value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the then-market value of the
      reference entity within the DJ IG CDX Series 5 Index 10-15%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>426</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on December 19, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2010, to pays quarterly
      110.5 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 3-7% tranche, the fund receives
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>551,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>186</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on December 20, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2010, to pays quarterly 114
      basis points times the notional amount. Upon a credit default</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 3-7% tranche, the fund receives
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,493,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,673</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 8, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2015, to receive quarterly
      479 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of any reference entity
      within the iTraxx Eur 3 Index,3-6% tranche. the fund makes a</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the iTraxx EUR 3 Index, 3-6% tranche.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,272,691</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>54,844</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 8, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2012, to receive quarterly
      285 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,619,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>6,749</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on May 24, 2005, maturing on June 20,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 90 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ IG CDX 5 year Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ IG CDX
      5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>year Series 4
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>10,060,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(401,527)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="14%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on May 24, 2005, maturing on June 20,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and receive quarterly 500 basis points times the</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of a reference entity within the DJ IG CDX 5
      year</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 4 Index 0-3% tranche, the
      fund makes a payment of the proportional notional amount
      times</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the difference between the par
      value and the then-market value of the reference entity within
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>DJ IG CDX 5 year Series 4 Index
      0-3% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>2,276,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>125,565</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 13, 2005, maturing on
      June</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2012, to receive quarterly
      275 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>1,722,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(6,732)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_22></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 19, 2005, maturing on
      June</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>20, 2012, to receive/(pay) a
      premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and pay quarterly 55 basis points times the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of a reference entity within the DJ IG CDX Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ IG
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,336,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,635</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on September 19, 2005, maturing on
      June</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>20, 2012, to receive quarterly
      48 basis points times the notional amount. Upon a credit
      default</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>event of a reference entity
      within the DJ IG CDX Series 4 Index 7-10% tranche, the fund makes
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index 7-10%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,336,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,785</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on October 13, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 395 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the DJ CDX
      HY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      DJ</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>CDX HY Series 5
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,087,020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(33,285)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on October 12, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 395 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the CDX
      HY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>HY Series 5 Index.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>14,058,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(396,663)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on October 14, 2005, maturing</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>on June 20, 2010, to
      receive/(pay) a premium based on the difference between the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>original spread on issue and the
      market spread on day of execution and pays</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>quarterly 90 basis points times
      the notional amount. Upon a credit default event of a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>reference entity within the CDX
      IG HVOL Series 4 Index, the fund receives a payment</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>of the proportional notional
      amount times the difference between the par value and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>the then-market value of the
      reference entity within the CDX IG HVOL Series 4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>10,748,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(30,351)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on October 21, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 90 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the CDX IG Series 4 Index,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>fund receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX IG Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,638,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>37,223</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on November 17, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 85 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the CDX
      IG</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>HVOL Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>IG HVOL Series 5
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,623,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(6,655)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on December 2, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2012, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 55 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the CDX
      IG</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>IG Series 5 Index.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>597,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(1,320)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on December 2, 2005, maturing</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>on December 20, 2012, to receive
      quarterly 31.25 basis points times the notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the CDX IG Series 5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Index, 10-15% tranche, the fund
      makes a payment of the proportional notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>amount times the difference
      between the par value and the then-market value of the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>reference entity within the CDX
      IG Series 5 Index,10-15% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,493</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on December 2, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to pay
      quarterly 113 basis points times the notional amount. Upon a
      credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>default event of a reference
      entity within the CDX IG Series 5 Index, 3-7% tranche, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX IG Series 5 Index,
      3-7%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>811,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>748</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on December 2, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 85 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the CDX
      IG</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>HVOL Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>IG HVOL Series 5
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,623,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(3,113)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on October 13, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to receive
      quarterly 145 basis points times the notional amount. Upon a</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>credit default event of a
      reference entity within the DJ HY CDX Series 5 Index 25-35%
      tranche,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>the fund makes a payment of the
      proportional notional amount times the difference between the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>par value and the then-market
      value of the reference entity within the DJ HY CDX Series 5
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>2,196,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>35,556</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on October 14, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to receive
      quarterly 127 basis points times the notional amount. Upon a</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>credit default event of a
      reference entity within the DJ HY CDX Series 5 Index 25-35%
      tranche,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>the fund makes a payment of the
      proportional notional amount times the difference between the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>par value and the then-market
      value of the reference entity within the DJ HY CDX Series 5
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,325,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10,155</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="72%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Agreement with Morgan Stanley
      Capital Services, Inc. on October 14, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>December 20, 2010, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pays quarterly 395 basis
      points</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the CDX
      HY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>Series 5 Index, the fund
      receives a payment of the proportional notional amount times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="72%"><FONT face=sans-serif
      size=2>HY Series 5 Index.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>655,875</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(16,947)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_23></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Merrill Lynch
      International on April 14, 2005, maturing on June 20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and receives quarterly</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>360 basis points times the
      notional amount. Upon a credit default event of a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      HY CDX 4 Index, the fund makes a payment of the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ HY CDX 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,078,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>46,949</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan
      Securities Inc. on December 12, 2005, maturing on June 20, 2012,
      to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pays quarterly 55 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the DJ IG CDX 4 Index, the fund receives
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,209,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(1,194)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan
      Securities Inc. on December 12, 2005, maturing on June 20, 2012,
      to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive quarterly 30.5 basis
      points times the notional amount. Upon a credit default event of
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      IG CDX 4 Index, 10-15% tranche, the fund makes a payment of
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ IG CDX 4 Index10-15% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,418,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>3,092</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on December 1, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2010, to pay quarterly 124.5
      basis points times the notional amount. Upon a credit default</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>event of any reference entity
      within the DJ IG CDX Series 4 Index, 3-7% tranche,the fund
      receives</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>a payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index, 3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,170,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(17,084)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on December 19, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>June 20, 2010, to receive/(pay)
      a premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and to pay quarterly 90 basis points times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of any reference entity within the DJ IG CDX
      HVOL</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 4 Index,the fund receives
      a payment of the proportional notional amount times the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>difference between the par value
      and the then-market value of the reference entity within the
      DJ</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>IG CDX HVOL Series 4
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>551,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>939</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on December 19, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>June 20, 2012, to receive
      quarterly 309 basis points times the notional amount. Upon a
      credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>default event of any reference
      entity within the DJ IG CDX Series 4 Index, 3-7% tranche,the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>makes a payment of the
      proportional notional amount times the difference between the par
      value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the then-market value of the
      reference entity within the DJ IG CDX Series 4 Index, 3-7%</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>551,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>223</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on September 8, 2005, maturing on June 20, 2010, to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 360 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the CDX HY Series 4 Index, the fund</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX HY Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,027,040</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(24,895)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on August 17, 2005, maturing on June 20, 2010, to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 360 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the CDX HY Series 4 Index, the fund</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX HY Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(63,535)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on August 16, 2005, maturing on June 20, 2010, to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 360 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the CDX HY Series 4 Index, the fund</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX HY Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>4,900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$(87,527)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on April 13, 2005, maturing on June 20, 2010, to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and receive quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ HY CDX 3 Index, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>makes a payment of the
      proportional notional amount times the difference between the par
      value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the then-market value of the
      reference entity within the DJ HY CDX 3 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>980,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>41,967</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on April 14, 2005, maturing on June 20, 2010,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>to receive/(pay) a premium based
      on the difference between the original spread on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and receive quarterly 360 basis</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>points times the notional
      amount. Upon a credit default event of a reference entity</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>within the DJ HY CDX 4 Index,
      the fund makes a payment of the proportional notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount times the difference
      between the par value and the then-market value of the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      HY CDX 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,862,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>81,761</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Bank of America,
      N.A. on September 13, 2005, maturing on June 20, 2010, to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 90 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the DJ CDX IG HVOL Series 4 Index,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>fund receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ CDX IG HVOL Series 4</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>3,444,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>21,660</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on September 19, 2005, maturing on</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>June 20, 2015, to receive/(pay)
      a premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and pay quarterly 65 basis points times the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of a reference entity within the DJ IG CDX 4
      Index,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the fund receives a payment of
      the proportional notional amount times the difference between
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>par value and the then-market
      value of the reference entity within the DJ IG CDX 4 Index.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,167,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(847)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on September 19, 2005, maturing on</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>June 20, 2015, to receive
      quarterly 59 basis points times the notional amount. Upon a
      credit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>default event of a reference
      entity within the DJ IG CDX 4 Index,10-15% tranche, the fund
      makes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>a payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX 4 Index,10-15% tranche.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,167,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(5,333)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_24></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on September 21, 2005, maturing on</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2015, to
      receive/(pay) a premium based on the difference between the
      original</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>spread on issue and the market
      spread on day of execution and pay quarterly 70 basis points</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>times the notional amount. Upon
      a credit default event of a reference entity within the DJ IG
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>5 Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ IG CDX
      5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,168,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(3,392)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on September 21, 2005, maturing on</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>December 20, 2015, to receive
      quarterly 57.5 basis points times the notional amount. Upon a</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>credit default event of a
      reference entity within the DJ IG CDX 5 Index 10-15% tranche, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>makes a payment of the
      proportional notional amount times the difference between the par
      value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the then-market value of the
      reference entity within the DJ IG CDX 5 Index 10-15% tranche.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,168,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(3,837)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Deutsche Bank AG
      on April 15, 2005, maturing on June 20, 2010, to receive</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>quarterly 183 basis points times
      the notional amount. Upon a credit default event of a
      reference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>entity within the DJ HY CDX 4
      Index 25-35% tranche, the fund make a payment of the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ HY CDX 4 Index 25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>123,201</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with JPMorgan Chase
      Bank, N.A. on June 23, 2005, maturing on June 20, 2010, to</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receive/(pay) a premium based on
      the difference between the original spread on issue and the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 360 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the DJ HY CDX 5 year Series 4 Index,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>fund receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ HY CDX 5 year Series 4</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,409,820</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(86,395)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on August 19, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the CDX HY Series 4 Index,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>fund receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the CDX HY Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(38,431)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on April 13, 2005, maturing on June 20,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ HY CDX 3 Index, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ HY CDX 3 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>882,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>31,132</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on June 22, 2005, maturing on June 20,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2015, to receive quarterly 656
      basis points times the notional amount. Upon a credit default
      event</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>of a reference entity within the
      DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX 5 year Series 4 Index
      3-7%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,479,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(40,381)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      Capital Markets, L.P. on August 12, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2015, to receive quarterly 600
      basis points times the notional amount. Upon a credit default
      event</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>of a reference entity within the
      DJ IG CDX Series 4 Index,3-7% tranche, the fund makes a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index,3-7%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,562,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(161,940)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Goldman Sachs
      International on September 2, 2004, terminating on the date
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>which the notional amount is
      reduced to zero or the date on which the assets securing the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference obligation are
      liquidated, the fund receives a payment of the outstanding
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount times 2.55625% and the
      fund pays in the event of a credit default in one of the
      underlying</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>securities in the basket of BB
      CMBS securities.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>3,768,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(9,281)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on August 19, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2012, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 55 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ IG CDX Series 4
      Index,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the fund receives a payment of
      the proportional notional amount times the difference between
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>par value and the then-market
      value of the reference entity within the DJ IG CDX Series 4
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,278,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(859)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on June 10, 2005, maturing on June 20,
      2010,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>to receive/(pay) a premium based
      on the difference between the original spread on issue and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>market spread on day of
      execution and pay quarterly 360 basis points times the notional
      amount.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Upon a credit default event of a
      reference entity within the DJ HY CDX 5 year Series 4 Index,
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>fund receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ HY CDX 5 year Series 4</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,391,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(93,411)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on August 19, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2012, to receive quarterly 62
      basis points times the notional amount. Upon a credit default
      event</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>of a reference entity within the
      DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX Series 4 Index, 7-10%
      tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,278,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>12,733</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on June 10, 2005, maturing on June 20,
      2010,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>to pay quarterly 677.5 basis
      points times the notional amount. Upon a credit default event of
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      IG CDX 5 year Series 4 Index 3-7% tranche, the fund receives
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ IG CDX 5 year Series 4 Index
      3-7%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(57,169)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on April 28, 2005, maturing on June 20,
      2010,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>to receive quarterly 201 basis
      points times the notional amount. Upon a credit default event of
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      HY CDX 4 Index 25-35% tranche, the fund makes a payment of
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ HY CDX 4 Index 25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>155,650</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Citigroup
      Financial Products, Inc. on April 15, 2005, maturing on June 20,
      2010,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>to receive quarterly 180 basis
      points times the notional amount. Upon a credit default event of
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>reference entity within the DJ
      HY CDX 4 Index 25-35% tranche, the fund makes a payment of
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ HY CDX 4 Index 25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>133,320</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_25></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on August 24, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2012, to receive quarterly
      46.375 basis points times the notional amount. Upon a credit</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>default event of any reference
      entity within the DJ iTraxx Index, 6-9% tranche, the fund makes
      a</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>payment of the proportional
      notional amount times the difference between the par value and
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>then-market value of the
      reference entity within the DJ iTraxx Index, 6-9% tranche.</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,834,916</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10,948</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on August 24, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2012, to receive/(pay) a
      premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and to receive quarterly 45 basis points
      times</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the notional amount. Upon a
      credit default event of any reference entity within the DJ
      iTraxx</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund makes a payment
      of the proportional notional amount times the difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ
      iTraxx</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,834,916</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(2,917)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on July 27, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2012, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and to receive quarterly 45 basis points times the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of any reference entity within the DJ iTraxx
      Index,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the fund makes a payment of the
      proportional notional amount times the difference between the</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>par value and the then-market
      value of the reference entity within the DJ iTraxx Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,273,208</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(1,041)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on July 27, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2012, to receive quarterly 19
      basis points times the notional amount. Upon a credit default
      event</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>of any reference entity within
      the DJ iTraxx Index, S3 tranche, the fund makes a payment of
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ iTraxx Index, S3 tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>3,030,944</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>11,528</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on September 8, 2005, maturing on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>June 20, 2010, to receive/(pay)
      a premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and to pay quarterly 360 basis points times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of any reference entity within the DJ HY CDX
      Series</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>4 Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ HY
      CDX</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Series 4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,510,760</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(62,326)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on June 17, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ HY CDX 5 year Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ HY CDX
      5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>year Series 4
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>2,391,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(77,619)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on April 14, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ HY CDX 3 Index, the
      fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>receives a payment of the
      proportional notional amount times the difference between the
      par</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value and the then-market value
      of the reference entity within the DJ HY CDX 3 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>882,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>39,678</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on June 14, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to receive/(pay) a premium
      based on the difference between the original spread on issue</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>and the market spread on day of
      execution and pay quarterly 360 basis points times the
      notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>amount. Upon a credit default
      event of a reference entity within the DJ HY CDX 5 year Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the DJ HY CDX
      5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>year Series 4
      Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>1,440,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(48,338)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="73%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on August 10, 2005, maturing on June</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>20, 2010, to receive/(pay) a
      premium based on the difference between the original spread
      on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>issue and the market spread on
      day of execution and to pay quarterly 360 basis points times
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>notional amount. Upon a credit
      default event of any reference entity within the CDX HY Series
      4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Index, the fund receives a
      payment of the proportional notional amount times the
      difference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>between the par value and the
      then-market value of the reference entity within the CDX HY
      Series</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>4 Index.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>4,900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(81,057)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>Agreement with Lehman Brothers
      Special Financing, Inc. on April 18, 2005, maturing on June
      20,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>2010, to pay quarterly 194 basis
      points times the notional amount. Upon a credit default event
      of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>a reference entity within the DJ
      HY CDX 4 Index 25-35% tranche, the fund receives a payment of</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>the proportional notional amount
      times the difference between the par value and the
      then-market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><FONT face=sans-serif
      size=2>value of the reference entity
      within the DJ HY CDX 4 Index 25-35% tranche.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>28,751</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="73%"><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$(767,400)</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_26></A>
<P align=left><FONT face=sans-serif size=2
>NOTES</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(a) Percentages indicated are based on net assets of
$695,728,242.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(b) The aggregate identified cost on a tax basis is $771,562,671,
resulting in gross unrealized appreciation and depreciation of $10,999,753 and
$17,459,953, respectively, or net unrealized depreciation of
$6,460,200.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(c) 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. These loans pay interest at rates which adjust periodically.
The interest rate shown for senior loans are the current interest rates at
December 31, 2005. Senior loans are also subject to mandatory and/or optional
prepayment which cannot be predicted. As a result, the remaining maturity may be
substantially less than the stated maturity shown. Senior loans are purchased or
sold on a when-issued or delayed delivery basis and may be settled a month or
more after the trade date, which from time to time can delay the actual
investment of available cash balances; interest income is accrued based on the
terms of the securities. Senior loans can be acquired through an agent, by
assignment from another holder of the loan, or as a participation interest in
another holder&#146;s portion of the loan. When the fund invests in a loan or
participation, the fund is subject to the risk that an intermediate participant
between the </FONT></P>
<P align=left><FONT face=sans-serif size=2
>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(STP) 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.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(RES) Restricted, excluding 144A securities, as to public resale.
The total market value of restricted securities held at December 31, 2005 was
$565,730 or 0.1% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(PIK) Income may be received in cash or additional securities at
the discretion of the issuer.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(SEG) This security was pledged and segregated with the custodian
to cover margin requirements for futures contracts at December 31,
2005.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(e) 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
("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary
of Putnam, LLC. 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.
Income distributions earned by the fund totaled $764,460 for the period ended
December 31, 2005. During the period ended December 31, </FONT><FONT
face=sans-serif size=2>2005, cost of
purchases and cost of sales of investments in Putnam Prime Money Market Fund
aggregated $115,459,382 and $57,971,089, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(F) Security is valued at fair value following procedures approved
by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(U) A portion of the position represents unfunded loan commitments,
which could be extended at the option of the borrower, pursuant to the loan
agreements. The total market value of the unfunded loan commitments at December
31, 2005 was 0.03% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At
December 31, 2005, liquid assets totaling $128,498,439 have been designated as
collateral for open forward commitments, open swap contracts, and forward
contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>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.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>TBA after the name of a security represents to be announced
securities.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>The rates shown on Floating Rate Bonds (FRB) and Floating Rate
Notes (FRN) are the current interest rates at December 31, 2005.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Inverse Floating Rate Bonds (IFB) are securities that pay interest
rates that vary inversely to changes in the market interest rates. As interest
rates rise, inverse floaters produce less current income. The interest rates
shown are the current interest rates at December 31, 2005.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>DIVERSIFICATION BY COUNTRY</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Distribution of investments by country of issue at December 31,
2005: (as a percentage of Portfolio Value)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Argentina</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>0.8%</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Brazil</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>0.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Canada</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.0</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Cayman Islands</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.2</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Colombia</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>0.6</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>France</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.5</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Germany</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>2.1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Ireland</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.9</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Luxembourg</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.3</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Mexico</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>1.1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Sweden</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>0.6</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>United Kingdom</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>2.2</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>United States</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>82.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Other</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>2.3</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
      &nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="54%"><FONT face=sans-serif
      size=2>Total</FONT>&nbsp; </TD>
    <TD noWrap align=left width="45%"><FONT face=sans-serif
      size=2>100.0%</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2
>Security valuation </FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif">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. 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. 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. 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.</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<P align=left><FONT face=sans-serif size=2
>Accordingly, on certain days, the fund will fair value foreign
securities taking into account multiple factors, including movements in the U.S.
securities markets. 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.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Securities quoted in foreign currencies, if any, are translated
into U.S. dollars at the current exchange rate.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>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.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Stripped mortgage-backed securities</FONT></B><FONT face=sans-serif
size=2> The fund may invest in stripped
mortgage-backed securities which represent a participation in mortgage loans and
may be structured in classes with rights to receive different portions of the
interest and principal. Interest-only securities receive all of the interest and
principal-only securities receive all of the principal. If the interest-only
securities experience greater than anticipated prepayments of principal, the
fund may fail to recoup fully its initial investment in these securities.
Conversely, principal-only securities increase in value if prepayments are
greater than anticipated and decline if prepayments are slower than anticipated.
The market value of these securities is highly sensitive to changes in interest
rates.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Forward currency contracts</FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif"> 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. 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). 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. The contract is marked to
market daily and the change in market value is recorded as an unrealized gain or
loss. 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. </FONT></P>
<P align=left><FONT face=sans-serif size=2
>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. Forward currency contracts outstanding at period end, if any, are
listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Futures and options contracts</FONT></B><FONT face=sans-serif
size=2> The fund may use futures and options
contracts to hedge against changes in the values of securities the fund owns or
expects to purchase. The fund may also write options on swaps or securities it
owns or in which it may invest to increase its current returns.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>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. Realized gains and losses on purchased options
are included in realized gains and losses on investment securities. If a written
call option is exercised, the premium originally received is recorded as an
addition to sales proceeds. If a written put option is exercised, the premium
originally received is recorded as a reduction to cost of
investments.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. The fund and the broker agree
to exchange an amount of cash equal to the daily fluctuation in the value of the
futures contract. Such receipts or payments are known as &#147;variation margin.&#148;
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. Options traded over-the-counter are valued using prices
supplied by dealers. Futures and written option contracts outstanding at period
end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Total return swap contracts </FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif">The fund may enter into total return swap
contracts, which are arrangements to exchange a market-linked return for a
periodic payment, both based on a notional principal amount. To the extent that
the total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, the fund will receive a
payment from or make a payment to the counterparty. Total return 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. Payments received or
made are recorded as realized gains or loss. The fund could be exposed to credit
or market risk due to unfavorable changes in the fluctuation of interest rates
or in the price of the underlying security or index, the possibility that there
is no liquid market for these agreements or that the counterparty may default on
its obligation to perform. </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Risk of loss may exceed amounts recognized on the statement of
assets and liabilities. Total return swap contracts outstanding at period end,
if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Interest rate swap contracts </FONT></B><FONT face=sans-serif
size=2>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. 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. Payments received or made are recorded as realized
gains or loss. 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. Risk of loss may exceed amounts
recognized on the statement of assets and liabilities. Interest rate swap
contracts outstanding at period end, if any, are listed after the fund&#146;s
portfolio.</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<P align=left><B><FONT face=sans-serif size=2
>Credit default contracts </FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif">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. 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. Payments 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. </FONT></P>
<P align=left><FONT face=sans-serif size=2>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. Risks of loss may exceed amounts
recognized on the statement of assets and liabilities. Credit default contracts
outstanding at period end, if any, are listed after the fund&#146;s
portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>TBA purchase commitments </FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif">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. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitments will not significantly differ from the principal amount. 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. 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, which risk is in addition to the risk of decline in the value
of the fund&#146;s other assets. </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Unsettled TBA purchase commitments are valued at fair value of the
underlying securities, according to the procedures described under &#147;Security
valuation&#148; above. The contract is marked-to-market daily and the change in
market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>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.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>TBA sale commitments</FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif"> The fund may enter into TBA sale commitments
to hedge its portfolio positions or to sell mortgage-backed securities it owns
under delayed delivery arrangements. Proceeds of TBA sale commitments are not
received until the contractual settlement date. During the time a TBA sale
commitment is outstanding, equivalent deliverable securities or an offsetting
TBA purchase commitment deliverable on or before the sale commitment date, are
held as &#147;cover&#148; for the transaction.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Unsettled TBA sale commitments are valued at fair value of the
underlying securities, generally according to the procedures described under
&#147;Security valuation&#148; above. The contract is marked-to-market daily and the
change in market value is recorded by the fund as an unrealized gain or loss. If
the TBA sale commitment is closed through the acquisition of an offsetting
purchase commitment, the fund realizes a gain or loss. If the fund delivers
securities under the commitment, the fund realizes a gain or a loss from the
sale of the securities based upon the unit price established at the date the
commitment was entered into. TBA sale commitments outstanding at period end, if
any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2
>Dollar rolls </FONT></B><FONT face=sans-serif size=2
BASEFACE="sans-serif">To enhance returns, the fund may enter into
dollar rolls (principally using TBAs) in which the fund sells securities for
delivery in the current month and simultaneously contracts to purchase similar
securities on a specified future date. During the period between the sale and
subsequent purchase, the fund will not be entitled to receive income and
principal payments on the securities sold. The fund will, however, retain the
difference between the initial sales price and the forward price for the future
purchase. The fund will also be able to earn interest on the cash proceeds that
are received from the initial sale. The fund may be exposed to market or credit
risk if the price of the security changes unfavorably or the counterparty fails
to perform under the terms of the agreement.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>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</FONT></P>
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<P align=left><U><FONT face=sans-serif size=2
>Item 2. Controls and Procedures:</FONT></U><FONT face=sans-serif
size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2
>(a) The registrant's principal executive officer and principal
financial officer have concluded, based on their evaluation of the effectiveness
of the design and operation of the registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this report, that
the design and operation of such procedures are generally effective to provide
reasonable assurance that information required to be disclosed by the registrant
in this report is recorded, processed, summarized and reported within the time
periods specified in the Commission's rules and forms. </FONT></P>
<P align=left><FONT face=sans-serif size=2
>(b) Changes in internal control over financial reporting: Not
applicable </FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>Item 3. Exhibits:</FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif"> </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Separate certifications for the principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended, are filed herewith. </FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>SIGNATURES</FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif"> </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>NAME OF REGISTRANT</FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif"> </FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2
     >By (Signature and Title): </FONT><BR><U><FONT face=sans-serif
      size=2><BR>/s/ Michael T.
      Healy</FONT></U><FONT face=sans-serif size=2
     > </FONT><BR><FONT face=sans-serif size=2
     >Michael T. Healy </FONT><BR><FONT
      face=sans-serif size=2>Principal
      Accounting Officer </FONT><BR><FONT face=sans-serif size=2
     >Date: February 28, 2006
  </FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2
>Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated. </FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap>
      <P><FONT face=sans-serif size=2>By
      (Signature and Title): </FONT><BR><U><FONT face=sans-serif size=2
     ><BR>/s/ Charles E.
      Porter</FONT></U><FONT face=sans-serif size=2
     > </FONT><BR><FONT face=sans-serif size=2
     >Charles E. Porter </FONT><BR><FONT
      face=sans-serif size=2>Principal
      Executive Officer </FONT><BR><FONT face=sans-serif size=2
     >Date: February 28, 2006
      </FONT><BR><FONT face=sans-serif size=2
     ></FONT></P>
      <P><FONT face=sans-serif size=2>By
      (Signature and Title): </FONT><BR><U><FONT face=sans-serif size=2
     ><BR>/s/ Steven D.
      Krichmar</FONT></U><FONT face=sans-serif size=2
     > </FONT><BR><FONT face=sans-serif size=2
     >Steven D. Krichmar </FONT><BR><FONT
      face=sans-serif size=2>Principal
      Financial Officer </FONT><BR><FONT face=sans-serif size=2
     >Date: February 28, 2006
    </FONT><BR></P></TD></TR></TABLE></P>
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<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U><FONT size=2 face="sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the period covered by each report; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal
quarter for which the report is filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating
to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has
materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or
persons performing the equivalent functions): </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each
registrant&#146;s ability to record, process, summarize, and report financial information; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.
</FONT></P>
<P align="left">
<TABLE><TR><TD nowrap>
<FONT size=2 face="sans-serif">/s/ Charles E. Porter </FONT><BR>
<FONT size=2 face="sans-serif">_____________________________ </FONT><BR>
<FONT size=2 face="sans-serif">Date: February 28, 2006 </FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter </FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer </FONT><BR>
</TD></TR></TABLE>
</P>

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<A name="page_31"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U><FONT size=2 face="sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the period covered by each report; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal
quarter for which the report is filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating
to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has
materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or
persons performing the equivalent functions): </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each
registrant&#146;s ability to record, process, summarize, and report financial information; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.
</FONT></P>
<P align="left">
<TABLE><TR><TD nowrap>
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________ </FONT><BR>
<FONT size=2 face="sans-serif">Date: February 28, 2006 </FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer </FONT><BR>
</TD></TR></TABLE>
</P>

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<A name="page_32"></A>

<P align="left">
<TABLE><TR><TD nowrap>
<U><FONT size=2 face="sans-serif">Attachment A</FONT></U><FONT size=2 face="sans-serif"> </FONT><BR>
<FONT size=2 face="sans-serif">NQ </FONT><BR>
<FONT size=2 face="sans-serif">Period (s) ended December, 31, 2005</FONT><BR>
</TD></TR></TABLE>
</P>
<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">054</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam High Yield Municipal Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">074</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Master Intermediate Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">027</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam California Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">033</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam American Government Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">011</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">539</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam International New Opportunities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">032</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam US Government Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">010</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">062</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Tax Exempt Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">23T</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Prime Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">075</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Diversified Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">259</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">250</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">264</FONT>&nbsp;
	</TD>
	<TD width=89% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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