-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
Originator-Key-Asymmetric:
 MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen
 TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB
MIC-Info: RSA-MD5,RSA,
 WlD1kAyjNdGq4YSN0m2JgUjYU+z1zKxf1bh1jCUBZCwonw+SL9e3ptVKUWXJyVJp
 maXp9HkkLXobABx628xysw==

<SEC-DOCUMENT>0000928816-06-001098.txt : 20060828
<SEC-HEADER>0000928816-06-001098.hdr.sgml : 20060828
<ACCEPTANCE-DATETIME>20060828143431
ACCESSION NUMBER:		0000928816-06-001098
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20060630
FILED AS OF DATE:		20060828
DATE AS OF CHANGE:		20060828
EFFECTIVENESS DATE:		20060828

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:		061058287

	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_masterint.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
<!DOCTYPE HTML PUBLIC "">


<HTML>
<HEAD>
   <TITLE>a_masterint.htm</TITLE>
   <META name="HandheldFriendly" content="true">
</HEAD>

<BODY bgcolor="#ffffff">
































<!--$$/page=-->
<A name="page_1"></A>

<P align="left">
<FONT size=2 face="sans-serif">UNITED STATES</FONT><BR>
<FONT size=2 face="sans-serif">SECURITIES AND EXCHANGE COMMISSION </FONT><BR>
<FONT size=2 face="sans-serif">Washington, D.C. 20549 </FONT><BR>
</P>
<P align="left">
<B><FONT size=2 face="sans-serif">FORM N-Q </FONT></B><BR>
</P>
<P align="left">
<B><FONT size=2 face="sans-serif">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT </FONT></B><BR>
<B><FONT size=2 face="sans-serif">INVESTMENT COMPANY</FONT></B><FONT size=2 face="sans-serif"> </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Investment Company Act file number: (811- 05498 ) </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Name and address of agent for service: Beth S. Mazor, Vice President </FONT><BR>
<FONT size=2 face="sans-serif">      One Post Office Square </FONT><BR>
<FONT size=2 face="sans-serif">      Boston, Massachusetts 02109 </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Copy to: John W. Gerstmayr, Esq. </FONT><BR>
<FONT size=2 face="sans-serif">  Ropes &amp; Gray LLP </FONT><BR>
<FONT size=2 face="sans-serif">  One International Place </FONT><BR>
<FONT size=2 face="sans-serif">  Boston, Massachusetts 02110 </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Registrant&#146;s telephone number, including area code: (617) 292-1000 </FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Date of fiscal year end: September 30, 2006</FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Date of reporting period: June 30, 2006 </FONT><BR>
</P>
<P align="left">
<U><FONT size=2 face="sans-serif">Item 1. Schedule of Investments:</FONT></U><FONT size=2 face="sans-serif"> </FONT><BR>
</P>

<HR noshade align="center" width="100%" size=2>











































<!--$$/page=--><A name=page_1></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=5>Putnam Master Intermediate
      Income Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&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%"><FONT face=sans-serif
      size=4>The fund's
      portfolio</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
     >6/30/06 (Unaudited)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%"><B><FONT
      face=sans-serif size=2
     >U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS
      (8.6%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><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;&nbsp; </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
     >U.S. Government Agency Mortgage Obligations
      (8.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>Federal National Mortgage
      Association Pass-Through</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>Certificates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>8s, October 1, 2025</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>$6,283</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$6,561</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>6 1/2s, with due dates from
      August 1, 2034 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>September 1, 2034</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>993,657</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,000,645</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>19,575</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>19,831</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>6s, TBA, July 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>2,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,755,156</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>5 1/2s, April 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>2,200,876</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,113,270</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>5 1/2s, with due dates from
      February 1, 2019 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>February 1, 2021</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>4,262,805</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,185,041</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>5 1/2s, TBA, July 1,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>30,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>29,570,405</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>5s, April 1, 2020</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>123,597</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>119,276</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>5s, TBA, July 1,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>15,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>14,635,937</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>4 1/2s, with due dates from
      September 1, 2020 to</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>June 1, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>3,073,623</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>2,796,851</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </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="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$57,202,973</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Total U.S. government and agency mortgage obligations (cost
      $57,749,866)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%"><B><FONT
      face=sans-serif size=2
     >U.S. TREASURY OBLIGATIONS (10.6%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><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;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%">&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>6 1/2s, February 15,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>$7,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$7,838,086</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>38,008,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>36,066,027</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>27,242,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>26,209,784</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </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="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$70,113,897</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=2
     >Total U.S. treasury obligations (cost
      $73,691,911)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%"><B><FONT
      face=sans-serif size=2
     >CORPORATE BONDS AND NOTES (18.7%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><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;&nbsp; </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
     >Basic Materials (1.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>Chaparral Steel Co. company
      guaranty 10s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>$486,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$529,740</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Cognis Holding GmbH &amp; Co.
      144A sr. notes 9 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>(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="18%"><FONT face=sans-serif
      size=2>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>374,546</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Compass Minerals International,
      Inc. sr. disc. notes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>stepped-coupon Ser. B, zero %
      (12s, 6/1/08), 2013 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>285,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>259,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Compass Minerals International,
      Inc. sr. notes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>stepped-coupon zero % (12 3/4s,
      12/15/07), 2012 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>775,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>736,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Covalence Specialty Materials
      Corp. 144A sr. sub.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>notes 10 1/4s, 2016</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>470,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>451,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Crystal US Holdings, LLC sr.
      disc. notes</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>stepped-coupon Ser. A, zero %
      (10s, 10/1/09), 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>(STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>273,413</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Equistar Chemicals LP/Equistar
      Funding Corp. company</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>guaranty 10 1/8s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>581,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>614,408</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Gerdau Ameristeel Corp. sr.
      notes 10 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>(Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>680,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>729,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>287,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>191,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>213,443</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Innophos, Inc. company guaranty
      8 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>221,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>122,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>107,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>JSG Holding PLC 144A sr. notes
      11 1/2s, 2015 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>(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="18%"><FONT face=sans-serif
      size=2>181,020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>234,096</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Lyondell Chemical Co. company
      guaranty 10 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>155,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>170,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>242,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>MDP Acquisitions PLC sr. notes
      Ser. EUR, 10 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="12%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>611,481</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>100,298</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>824,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>830,180</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Novelis, Inc. 144A sr. notes 7
      3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>805,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>772,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>PQ Corp. company guaranty 7
      1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>92,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>86,480</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Rockwood Specialties Group, Inc.
      company guaranty 7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>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="18%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>457,319</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>695,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>719,325</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>146,606</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>140,009</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>149,169</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>226,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=2>Stone Container Finance company
      guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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>(Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>123,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><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="18%"><FONT face=sans-serif
      size=2>324,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>345,060</FONT>&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="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >10,130,292</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
     >Capital Goods (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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_2"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Allied Waste North America, Inc. company guaranty Ser.</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">B, 8 1/2s, 2008</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">732,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">757,620</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Blount, Inc. sr. sub. notes 8 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">541,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">538,295</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">73,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">72,635</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Crown Euro Holdings SA company guaranty 6 1/4s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">(France)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
<FONT size=2 face="sans-serif">EUR</FONT>&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">107,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">141,861</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Decrane Aircraft Holdings Co. company guaranty zero %,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2008 (acquired 7/23/04, cost &#36;323,523) (RES)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">986,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">690,200</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">2,370,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,257,425</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">854,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">796,355</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Manitowoc Co., Inc. (The) company guaranty 10 1/2s,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">55,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">59,263</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">220,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">215,600</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Milacron Escrow Corp. sec. notes 11 1/2s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">123,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">114,083</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Mueller Group, Inc. sr. sub. notes 10s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">172,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">184,900</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Owens-Brockway Glass company guaranty 7 3/4s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">181,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">182,358</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">877,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">913,176</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">241,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">246,889</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Terex Corp. company guaranty 9 1/4s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">190,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">201,875</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Terex Corp. company guaranty Ser. B, 10 3/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">486,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">512,730</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<B><FONT size=2 face="sans-serif">7,885,265</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<B><FONT size=2 face="sans-serif">Communication Services (1.0%)</FONT></B>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">American Cellular Corp. company guaranty 9 1/2s, 2009</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">195,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">199,388</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Cincinnati Bell, Inc. company guaranty 7s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">578,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">544,765</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Citizens Communications Co. sr. notes 6 1/4s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">1,711,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,616,895</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">325,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">339,625</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Inmarsat Finance PLC company guaranty 7 5/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">(United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">223,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">228,575</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">866,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">737,183</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">iPCS, Inc. sr. notes 11 1/2s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">300,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">334,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">IWO Holdings, Inc. sec. FRN 8.818s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">82,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">84,870</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Qwest Communications International, Inc. company</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">guaranty 7 1/2s, 2014</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">428,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">417,300</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Qwest Corp. notes 8 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">1,501,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,583,555</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Qwest Corp. sr. notes 7 5/8s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">409,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">403,888</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">164,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">189,010</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">75,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">74,719</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<B><FONT size=2 face="sans-serif">6,754,273</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<B><FONT size=2 face="sans-serif">Consumer Cyclicals (3.2%)</FONT></B>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">585,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">613,519</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">165,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">166,444</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">134,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">127,133</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">454,021</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">449,481</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Dex Media West, LLC/Dex Media Finance Co. sr. notes</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. B, 8 1/2s, 2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">605,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">627,688</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Dex Media, Inc. notes 8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">182,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">182,910</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">515,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">545,900</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ford Motor Credit Corp. notes 7 7/8s, 2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">245,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">226,011</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ford Motor Credit Corp. notes 7 3/8s, 2009</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">361,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">333,758</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ford Motor Credit Corp. 144A sr. unsecd. notes 9 3/4s,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">444,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">432,627</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. FRN 6.018s, 2007</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">350,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">347,375</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. FRN Ser. MTN, 6.039s,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2007</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">695,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">690,230</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 7 3/4s, 2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">90,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">89,536</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 6 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">68,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">64,067</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 6 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">59,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">54,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. sr. unsub. notes</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">5.85s, 2009</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">33,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">31,634</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Goodyear Tire &amp; Rubber Co. (The) sr. notes 9s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">456,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">435,480</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">725,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">718,656</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">718,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">696,460</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">K. Hovnanian Enterprises, Inc. company guaranty 8</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">600,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">597,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">25,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">22,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Levi Strauss &amp; Co. sr. notes 9 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">651,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">651,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Levi Strauss &amp; Co. 144A sr. notes 8 7/8s, 2016</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">285,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">272,175</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">235,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">197,988</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Meritor Automotive, Inc. notes 6.8s, 2009</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">71,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">68,693</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">468,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">486,135</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">MGM Mirage, Inc. company guaranty 6s, 2009</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">1,009,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">981,253</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Movie Gallery, Inc. sr. unsecd. notes 11s, 2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">190,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">141,550</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Owens Corning notes 7 1/2s, 2005 (In default)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">(NON)(DEF)</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">534,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">464,580</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">460,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">460,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Park Place Entertainment Corp. sr. notes 7s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">495,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">503,830</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Park Place Entertainment Corp. sr. sub. notes 7 7/8s,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">395,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">409,813</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">247,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">247,618</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">PRIMEDIA, Inc. sr. notes 8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">688,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">615,760</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">R.H. Donnelley Corp. sr. notes 6 7/8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">268,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">246,560</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">R.H. Donnelley Corp. 144A sr. disc. notes Ser. A-2, 6</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">7/8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">67,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">60,635</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Reader's Digest Association, Inc. (The) sr. notes 6</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">1/2s, 2011</FONT>&nbsp;
	</TD>
	<TD width=21% nowrap align=left>
&nbsp;
	</TD>
	<TD width=16% nowrap align=left>
<FONT size=2 face="sans-serif">365,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">352,225</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>



<!--$$/page=-->
<A name="page_3"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Resorts International Hotel and Casino, Inc. company</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">guaranty 11 1/2s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">450,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">486,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Scientific Games Corp. company guaranty 6 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">626,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">585,310</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">735,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">735,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Standard Pacific Corp. sr. notes 7 3/4s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">135,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">127,575</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Starwood Hotels &amp; Resorts Worldwide, Inc. company</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">guaranty 7 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">560,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">584,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Starwood Hotels &amp; Resorts Worldwide, Inc. debs. 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">3/8s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">520,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">523,900</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">470,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">440,038</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">283,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">282,293</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">436,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">477,965</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">161,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">159,390</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">notes 8 1/2s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">604,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">584,370</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">117,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">112,466</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">United Auto Group, Inc. company guaranty 9 5/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">515,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">538,175</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">736,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">723,120</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Vertis, Inc. 144A sub. notes 13 1/2s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">730,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">613,200</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">mtge. 6 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">555,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">523,088</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">21,109,414</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Consumer Staples (2.8%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">545,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">542,275</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">456,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">417,810</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Archibald Candy Corp. company guaranty 10s, 2007 (In</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">default) (F)(NON)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">90,153</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">4,711</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">210,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">212,100</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Avis Budget Care Rental LLC 144A sr. notes 7 3/4s, 2016</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">285,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">274,313</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Brand Services, Inc. company guaranty 12s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">565,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">638,450</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">167,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">164,704</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CCH I Holdings LLC company guaranty stepped-coupon</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">zero % (12 1/8s, 11/15/07), 2015 (STP)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">49,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">25,970</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CCH I LLC secd. notes 11s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,347,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,178,625</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CCH II, LLC/Capitol Corp. sr. notes Ser. B, 10 1/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">259,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">258,353</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CCH, LLC/Capital Corp, sr. notes 10 1/4s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">86,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">86,215</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">444,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">410,700</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cinemark USA, Inc. sr. sub. notes 9s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">20,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">21,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(9 3/4s, 3/15/09), 2014 (STP)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">990,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">767,250</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Constellation Brands, Inc. company guaranty Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">8s, 2008</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">825,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">841,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Constellation Brands, Inc. sr. sub. notes Ser. B, 8</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">425,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">438,813</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">595,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">595,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CSC Holdings, Inc. 144A sr. notes 7 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,068,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,030,620</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">264,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">255,420</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dean Foods Co. sr. notes 6 5/8s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">445,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">441,663</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">320,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">296,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">560,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">576,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,026,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">946,485</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">2,119,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,991,860</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Interpublic Group of Companies, Inc. notes 6 1/4s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">118,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">96,170</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">509,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">493,730</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">251,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">230,920</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">741,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">728,033</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Playtex Products, Inc. company guaranty 9 3/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">266,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">276,973</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Playtex Products, Inc. sec. notes 8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">770,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">796,950</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">450,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">441,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Rainbow National Services, LLC 144A sr. notes 8 3/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">482,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">506,100</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Remington Arms Co., Inc. company guaranty 10 1/2s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">483,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">415,380</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Sbarro, Inc. company guaranty 11s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">726,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">739,613</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Scotts Co. (The) sr. sub. notes 6 5/8s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">255,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">244,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Six Flags, Inc. sr. notes 9 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">370,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">336,700</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. company guaranty 10s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">431,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">383,590</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">365,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">304,775</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">18,412,171</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Energy (3.9%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,347,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,289,753</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">487,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">493,088</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">812,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">779,520</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">269,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">269,673</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,031,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,033,578</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">279,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">269,933</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">510,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">476,213</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dresser, Inc. company guaranty 9 7/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">696,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">706,440</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">725,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">696,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">540,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">552,150</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" 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="51%"><FONT face=sans-serif
      size=2>Forest Oil Corp. sr. notes 8s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>341,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Gazprom OAO 144A notes 9 5/8s,
      2013 (Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>9,080,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10,407,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Harvest Operations Corp. sr.
      notes 7 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>(Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>584,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>554,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Hornbeck Offshore Services, Inc.
      sr. notes Ser. B, 6</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>517,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>479,518</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Massey Energy Co. sr. notes 6
      5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>774,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>762,390</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Newfield Exploration Co. sr.
      notes 7 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>700,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>715,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Newfield Exploration Co. sr.
      sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>348,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>331,470</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Offshore Logistics, Inc. company
      guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>655,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>604,238</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Oslo Seismic Services, Inc. 1st
      mtge. 8.28s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>458,704</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>464,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Pacific Energy Partners/Pacific
      Energy Finance Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>sr. notes 7 1/8s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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>358,550</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background=""><FONT
      size=2>Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="21%" background=""></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      size=2>659,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" background=""><FONT
      size=2>703,650</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background=""><FONT
      size=2>Pemex Project Funding Master Trust company guaranty 5</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="21%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background=""><FONT
      size=2>3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%" background=""></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      size=2>4,060,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" background=""><FONT
      size=2>3,739,260</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background=""><FONT
      size=2>Pemex Project Funding Master Trust 144A company</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%" background=""></TD>
    <TD noWrap align=left width="16%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background=""><FONT
      size=2>guaranty 5 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%" background=""></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      size=2>1,778,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" background=""><FONT
      size=2>1,637,538</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>PetroHawk Energy Corp 144A sr.
      notes 9 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>870,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>865,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Plains Exploration &amp;
      Production Co. sr. notes 7 1/8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>620,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>610,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Plains Exploration &amp;
      Production Co. sr. sub. notes 8</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>485,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>508,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><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="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>670,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>690,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Pride International, Inc. sr.
      notes 7 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>826,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>830,130</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Seabulk International, Inc.
      company guaranty 9 1/2s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>663,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%">&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >31,835,605</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="51%"><B><FONT
      face=sans-serif size=2
     >Financial (1.0%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>Bosphorus Financial Services,
      Ltd. 144A sec. FRN</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>6.97s, 2012 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,445,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,450,586</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><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="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>310,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>313,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Finova Group, Inc. notes 7 1/2s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>439,620</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>129,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>UBS Luxembourg SA for Sberbank
      unsec. sub. notes 6.23s</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>(7.429s, 2/11/10), 2015
      (Luxembourg) (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,355,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>VTB Capital SA 144A notes 7
      1/2s, 2011 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,010,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>3,089,013</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%">&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >6,338,287</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="51%"><B><FONT
      face=sans-serif size=2
     >Health Care (1.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>Community Health Systems, Inc.
      sr. sub. notes 6 1/2s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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>173,621</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>DaVita, Inc. company guaranty 6
      5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>166,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Extendicare Health Services,
      Inc. sr. sub. notes 6</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>312,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>326,040</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>HCA, Inc. debs. 7.19s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>51,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>49,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 6 3/8s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>212,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>196,428</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 6 1/4s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>550,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>513,574</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>HCA, Inc. notes 5 3/4s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>232,489</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>MedQuest, Inc. company guaranty
      Ser. B, 11 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>595,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>556,325</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Omnicare, Inc. sr. sub. notes 6
      1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>740,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>684,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Service Corporation
      International notes 6 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>109,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Service Corporation
      International 144A sr. notes 8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>170,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>158,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Service Corporation
      International notes Ser. *, 7.7s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>271,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Service Corporation
      International sr. notes 6 3/4s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>535,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>492,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Stewart Enterprises, Inc. sr.
      notes 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>724,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>658,840</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Tenet Healthcare Corp. notes 7
      3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>355,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Tenet Healthcare Corp. sr. notes
      9 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>835,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>835,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Triad Hospitals, Inc. sr. notes
      7s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>825,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>820,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Triad Hospitals, Inc. sr. sub.
      notes 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>211,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>205,198</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>US Oncology, Inc. company
      guaranty 9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>436,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Vanguard Health Holding Co. II,
      LLC sr. sub. notes 9s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>556,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>554,610</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      company guaranty 9s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>2012 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>305,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>333,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      company guaranty 6</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>3/4s, 2010 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>201,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>198,990</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ventas Realty LP/Capital Corp.
      sr. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>(R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>173,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>167,810</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%">&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >8,498,028</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="51%"><B><FONT
      face=sans-serif size=2
     >Technology (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>Advanced Micro Devices, Inc. sr.
      notes 7 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>334,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>340,680</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Freescale Semiconductor, Inc.
      sr. notes Ser. B, 7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="11%"><FONT face=sans-serif
      size=2>1,241,290</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Iron Mountain, Inc. company
      guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>700,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>703,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>New ASAT Finance, Ltd. company
      guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>(Cayman Islands)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>13,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>10,660</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>SunGard Data Systems, Inc. 144A
      sr. unsecd. notes 9</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="51%"><FONT face=sans-serif
      size=2>1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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>352,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Xerox Corp. sr. notes 9 3/4s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%"><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="11%"><FONT face=sans-serif
      size=2>278,476</FONT>&nbsp;
  </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="53%"><FONT face=sans-serif
      size=2>Xerox Corp. sr. notes 7 5/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>623,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>627,673</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >3,555,029</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="53%"><B><FONT
      face=sans-serif size=2
     >Transportation (0.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>CalAir, LLC/CalAir Capital Corp.
      company guaranty 8</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>760,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >737,200</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="53%"><B><FONT
      face=sans-serif size=2
     >Utilities &amp; Power (1.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>AES Corp. (The) sr. notes 8
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>54,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>56,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>AES Corp. (The) sr. notes 8
      3/4s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>30,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>AES Corp. (The) 144A sec. notes
      8 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>460,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>492,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Centrais Electricas Brasileirass
      SA 144A sr. notes 7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>3/4s, 2015 (Brazil)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>609,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>609,792</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>CMS Energy Corp. sr. notes 8.9s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>600,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>624,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>CMS Energy Corp. sr. notes 7
      3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>182,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Colorado Interstate Gas Co. sr.
      notes 5.95s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>158,127</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Edison Mission Energy 144A sr.
      notes 7 3/4s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>146,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>143,445</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Edison Mission Energy 144A sr.
      notes 7 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>172,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>168,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>El Paso Corp. 144A notes 6 3/8s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>196,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><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="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>371,844</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>El Paso Production Holding Co.
      company guaranty 7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>993,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,000,448</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ferrellgas LP/Finance sr. notes
      6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>520,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>492,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Mission Energy Holding Co. sec.
      notes 13 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>749,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>835,135</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Monongahela Power Co. 1st mtge.
      6.7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>413,933</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Northwestern Corp. sec. notes 5
      7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>319,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>312,530</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Orion Power Holdings, Inc. sr.
      notes 12s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><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="53%"><FONT face=sans-serif
      size=2>SEMCO Energy, Inc. sr. notes 7
      3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>517,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>518,580</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. notes 7.2s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>186,156</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. notes 7s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>278,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Teco Energy, Inc. sr. notes 6
      3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>32,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>31,120</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Utilicorp Canada Finance Corp.
      company guaranty 7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>3/4s, 2011 (Canada)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>612,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>633,420</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Utilicorp United, Inc. sr. notes
      9.95s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>18,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>20,261</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Williams Cos., Inc. (The) notes
      8 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>155,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Williams Cos., Inc. (The) 144A
      notes 6 3/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>172,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>167,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>York Power Funding 144A notes
      12s, 2007 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>Islands) (In default)
      (F)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><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 vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >8,838,192</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="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$124,093,756</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=2
     >Total corporate bonds and notes (cost
      $125,906,415)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><B><FONT
      face=sans-serif size=2
     >FOREIGN GOVERNMENT BONDS AND NOTES
      (17.4%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&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;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Argentina (Republic of) FRB
      4.889s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$7,218,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$6,670,687</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Austria (Republic of) 144A notes
      Ser. EMTN, 3.8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,757,211</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Brazil (Federal Republic of)
      bonds 10 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,018,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,225,672</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Brazil (Federal Republic of)
      bonds 5.502s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,405,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>635,982</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Brazil (Federal Republic of)
      notes 11s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>8,633,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Canada (Government of) bonds
      Ser. WH31, 6s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>3,405,936</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Colombia (Republic of) notes
      10s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,697,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,155,428</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Colombia (Republic of) notes
      0.005s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>COP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>450,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>196,830</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>France (Government of) bonds 4s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>6,068,471</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>France (Government of) bonds
      Ser. OATe, 3s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,329,160</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>5,958,799</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Germany (Federal Republic of)
      bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>7,211,060</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Germany (Federal Republic of)
      bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>6,481,995</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ireland (Republic of) bonds 5s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>10,182,677</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Japan (Government of) bonds Ser.
      239, 0.2s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,800,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>33,002,817</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Russia (Ministry of Finance)
      debs. Ser. V, 3s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>2,307,591</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>South Africa (Republic of) notes
      7 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>1,543,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>South Africa (Republic of) notes
      6 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>1,322,020</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Spain (Government of) bonds
      5.4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>1,366,717</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Spain (Kingdom of) bonds 5s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>1,080,905</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Sweden (Government of) debs.
      Ser. 1041, 6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><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>5,048,376</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>United Mexican States notes 6
      5/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,530,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>4,575,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Venezuela (Republic of) notes 10
      3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>2,567,100</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$115,398,862</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=2
     >Total foreign government bonds and notes (cost
      $112,857,949)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><B><FONT
      face=sans-serif size=2
     >ASSET-BACKED SECURITIES (13.3%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&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;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Aegis Asset Backed Securities
      Trust 144A Ser. 04-2N,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>Class N1, 4 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$1,310</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$1,306</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Americredit Automobile
      Receivables Trust 144A Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>05-1, Class E, 5.82s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>358,706</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>358,132</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ameriquest Finance NIM Trust
      144A Ser. 04-RN9,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>Class N2, 10s, 2034 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>280,860</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Arcap REIT, Inc.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class E, 7.11s,
      2038</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>378,873</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class E, 6.42s,
      2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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>347,064</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Asset Backed Funding Corp. NIM
      Trust 144A Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>04-0PT5, Class N1, 4.45s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,298</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Asset Backed Securities Corp.
      Home Equity Loan Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&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="53%"><FONT face=sans-serif
      size=2>FRB Ser. 06-HE2, Class M10,
      7.823s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>509,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>457,739</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="51%"><FONT face=sans-serif
      size=2>FRB Ser. 06-HE2, Class M11,
      7.823s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>364,796</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Aviation Capital Group Trust
      144A FRB Ser. 03-2A,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class G1, 5.967s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>285,864</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>286,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bank One Issuance Trust FRB Ser.
      03-C4, Class C4,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>6.229s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>346,415</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bear Stearns Alternate Trust
      Ser. 05-5, Class 21A1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>4.69s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,371,608</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,353,186</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bear Stearns Asset Backed
      Securities NIM Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><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="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>19,262</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>19,142</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bear Stearns Asset Backed
      Securities, Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-FR3, Class M6, 8.573s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>286,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>285,643</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 06-PC1, Class M9,
      7.073s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>150,081</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bear Stearns Asset Backed
      Securities, Inc. 144A FRB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 06-HE2, Class M10, 7.573s,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>245,531</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Bombardier Capital Mortgage
      Securitization Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A2, 7.575s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>158,789</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>110,623</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A4, 8.29s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>580,137</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>412,804</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A3, 7.18s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,253,694</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>821,953</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A4, 7.3s,
      2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>744,959</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>499,684</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 00-A, Class A1, 5.359s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>166,874</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>95,118</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Broadhollow Funding, LLC 144A
      FRB Ser. 04-A,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class Sub, 6.57s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>598,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>604,937</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Capital Auto Receivables Asset
      Trust 144A Ser. 06-1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class D, 7.16s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>494,844</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>CARSSX Finance, Ltd.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 04-AA, Class B3,
      8.549s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>34,922</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>35,716</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 04-AA, Class B4,
      10.699s, 2011 (Cayman</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>180,214</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>188,389</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Chase Credit Card Master Trust
      FRB Ser. 03-3, Class C,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>6.279s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>356,106</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>CHEC NIM Ltd., 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N2, 8s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>46,263</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>46,034</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-2, Class N3, 8s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>58,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>54,597</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Citigroup Mortgage Loan Trust,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 05-HE4, Class M11,
      7.823s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>304,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>252,783</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 05-HE4, Class M12,
      7.373s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>457,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>365,189</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 06-WMC1, Class M10,
      8.823s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>80,469</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Conseco Finance Securitizations
      Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-1, Class A5, 8.06s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,009,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-2, Class A4, 8.48s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>77,106</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>76,729</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-2, Class A5, 8.85s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,207,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,010,171</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A4, 7.73s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>599,129</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>562,869</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A5, 7.97s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>190,418</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-4, Class A6, 8.31s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,615,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>3,043,315</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-5, Class A6, 7.96s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>199,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>167,707</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-5, Class A7, 8.2s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>476,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>402,458</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-6, Class A5, 7.27s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>101,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>91,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-1, Class A5, 6.99s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>897,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>808,692</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class A3, 5.79s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>5,447</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>5,437</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class A4, 6.91s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&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="10%"><FONT face=sans-serif
      size=2>2,871,285</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-3, Class M2, 7.44s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>155,291</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>13,976</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-4, Class A4, 7.36s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>268,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>256,951</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-4, Class B1, 9.4s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>20,039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 02-1, Class A, 6.681s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,488,752</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,487,468</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 01-4, Class M1, 6.859s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>295,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>112,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Consumer Credit Reference IDX
      Securities 144A FRB Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>02-1A, Class A, 6.935s,
      2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>790,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>801,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Countrywide Alternative Loan
      Trust Ser. 06-OA10,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class XBI, Interest Only (IO),
      zero %, 2046</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,295,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>329,504</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Countrywide Asset Backed
      Certificates 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-6N, Class N1, 6 1/4s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>56,191</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>56,057</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-BC1N, Class Note, 5
      1/2s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>26,614</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>26,079</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Countrywide Home
      Loans</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 05-2, Class 2X, IO, 1.16s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>7,002,090</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>152,077</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 06-0A5, Class X, IO,
      1.167s, 2046</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>5,042,747</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>247,410</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Countrywide Home Loans 144A Ser.
      05-R1, Class 1AS, IO,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>1.045s, 2035 (SN)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>5,059,957</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>120,965</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Crest, Ltd. 144A Ser. 03-2A,
      Class E2, 8s, 2038</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>(Cayman Islands)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>431,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>406,687</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>DB Master Finance, LLC 144A Ser.
      06-1, Class M1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>8.285s, 2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>277,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>278,414</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>First Chicago Lennar Trust 144A
      Ser. 97-CHL1, Class E,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>7.619s, 2039</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&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="10%"><FONT face=sans-serif
      size=2>1,896,005</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>First Franklin Mortgage Loan
      Asset Backed Certificates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 04-FF7, Class A4,
      5.623s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&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="10%"><FONT face=sans-serif
      size=2>6,772,690</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>First Franklin Mortgage Loan NIM
      Trust 144A Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>04-FF10, Class N1, 4.45s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,259</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>6,251</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>First Horizon Mortgage
      Pass-Through Trust Ser. 05-AR2,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class 1A1, 4.831s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,468,634</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,449,734</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Fremont NIM Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class A, 4 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>43,467</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>43,268</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class B, 7 1/2s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>43,853</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>40,674</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Gears Auto Owner Trust Ser.
      05-AA, Class E1, 8.22s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>687,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>672,718</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Granite Mortgages
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 02-1, Class 1C, 6.38s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>442,017</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><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="22%"><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="10%"><FONT face=sans-serif
      size=2>1,889,684</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 03-2, Class 3C, 6.18s,
      2043 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%"><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="10%"><FONT face=sans-serif
      size=2>2,043,860</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Green Tree Financial
      Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 93-1, Class B, 8.45s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>730,027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>694,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 94-4, Class B2, 8.6s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="22%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>358,848</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>261,512</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="51%"><FONT face=sans-serif
      size=2>Ser. 94-6, Class B2, 9s,
      2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>870,032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>752,441</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 95-4, Class B1, 7.3s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>371,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>366,456</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 95-8, Class B1, 7.3s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>362,579</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>283,146</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 96-8, Class M1, 7.85s,
      2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>387,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>321,398</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 97-6, Class M1, 7.21s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>778,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>595,170</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-3, Class A5, 6.16s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>36,164</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>36,390</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-3, Class A7, 6.74s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>733,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>689,830</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-5, Class A5, 7.86s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,480,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>3,870,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Greenpoint Manufactured
      Housing</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-3, Class IA, 8.45s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,823,568</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,657,220</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-5, Class A4, 7.59s,
      2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>86,388</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>87,081</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><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="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>365,777</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>363,846</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>GSAMP Trust 144A</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-NIM1, Class N2, zero %,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>336,178</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>247,595</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-NIM2, Class N, 4 7/8s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>171,841</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>171,102</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>GSMPS Mortgage Loan Trust
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 05-RP1, Class 1AS, IO,
      1.148s, 2035 (SN)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>26,924,520</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>622,629</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 06-RP1, Class 1AS, IO,
      0.868s, 2036 (SN)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,796,899</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>83,196</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Guggenheim Structured Real
      Estate Funding, Ltd. FRB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 05-1A, Class E, 7.123s,
      2030 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>371,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>371,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Guggenheim Structured Real
      Estate Funding, Ltd. 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 05-2A, Class E, 7.323s,
      2030 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>379,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>381,691</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>HASCO NIM Trust 144A Ser.
      05-OP1A, Class A, 6 1/4s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>343,116</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>331,436</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Holmes Financing
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 4, Class 3C, 6.368s,
      2040 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>210,020</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 8, Class 2C, 5.788s,
      2040 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>235,423</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>LNR CDO, Ltd. 144A FRB Ser.
      02-1A, Class FFL, 8.073s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>2037 (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,260,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Long Beach Mortgage Loan
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class S1, IO, 4 1/2s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>765,382</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>17,221</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-3, Class S2, IO, 4 1/2s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>382,694</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>8,611</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 06-2, Class M10,
      7.823s, 2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>318,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>264,338</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Long Beach Mortgage Loan Trust
      144A FRB Ser. 06-2,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class B, 7.823s,
      2036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>318,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>247,245</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Lothian Mortgages PLC 144A FRB
      Ser. 3A, Class D,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>5.43s, 2039 (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>900,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,664,370</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Madison Avenue Manufactured
      Housing Contract FRB Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>02-A, Class B1, 8.573s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,046,356</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>732,449</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>MASTR Asset Backed Securities
      NIM Trust 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-CI5, Class N2, 9s, 2034
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>110,640</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>110,640</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-HE1A, Class Note,
      5.191s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>8,921</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>8,873</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>MBNA Credit Card Master Note
      Trust FRB Ser. 03-C5,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class C5, 6.379s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>356,533</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Merrill Lynch Mortgage
      Investors, Inc. Ser. 03-WM3N,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class N1, 8s, 2034</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,791</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>3,739</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Merrill Lynch Mortgage
      Investors, Inc. 144A Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>04-FM1N, Class N1, 5s, 2035
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>10,133</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>10,015</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Mid-State Trust Ser. 11, Class
      B, 8.221s, 2038</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>139,610</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>135,122</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Morgan Stanley ABS Capital I FRB
      Ser. 04-HE8,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class B3, 8.523s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>214,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>217,346</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Morgan Stanley Auto Loan Trust
      144A Ser. 04-HB2,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class E, 5s, 2012</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>166,184</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>163,069</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Morgan Stanley Dean Witter
      Capital I FRB Ser. 01-NC3,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class B1, 8.998s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>65,844</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>34,897</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Morgan Stanley Mortgage Loan
      Trust Ser. 05-5AR,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class 2A1, 5.412s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,929,518</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,917,609</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Navistar Financial Corp. Owner
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 04-B, Class C, 3.93s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>108,585</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>104,883</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 05-A, Class C, 4.84s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>252,072</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>246,195</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Oakwood Mortgage Investors,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-A, Class A2, 7.765s,
      2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>175,529</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>136,523</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 00-D, Class A4, 7.4s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&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="10%"><FONT face=sans-serif
      size=2>647,618</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-C, Class A2, 5.92s,
      2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,051,279</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>550,793</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-D, Class A2, 5.26s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>167,335</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>109,746</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-D, Class A4, 6.93s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>803,487</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>562,838</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 01-E, Class A2, 5.05s,
      2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,220,659</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>926,982</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 02-A, Class A2, 5.01s,
      2020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>353,220</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>268,012</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 02-B, Class A4, 7.09s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>443,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>384,106</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 02-C, Class A1, 5.41s,
      2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,536,524</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,289,601</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 95-B, Class B1, 7.55s,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>364,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>240,240</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-B, Class A4, 6.99s,
      2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,233,566</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>1,062,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ser. 99-D, Class A1, 7.84s,
      2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,142,338</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>988,516</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Oakwood Mortgage Investors, Inc.
      144A Ser. 01-B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class A4, 7.21s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>245,687</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>213,667</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Ocean Star PLC 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 04-A, Class E, 11.664s,
      2018 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>885,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>937,215</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 05-A, Class E, 9.764s,
      2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>238,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>237,881</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Option One Mortgage Loan Trust
      FRB Ser. 05-4,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class M11, 7.823s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>509,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>446,926</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Park Place Securities, Inc. FRB
      Ser. 04-MCW1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class A2, 5.703s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,505,251</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>2,508,383</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Park Place Securities, Inc. 144A
      FRB Ser. 05-WCW2,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class M11, 7.823s,
      2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>191,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>147,070</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>People's Choice Net Interest
      Margin Note 144A Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>04-2, Class B, 5s,
      2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>81,166</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>79,979</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Permanent Financing
      PLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 3, Class 3C, 6.45s,
      2042 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>354,189</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>FRB Ser. 6, Class 3C, 5.4s, 2042
      (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%"><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="10%"><FONT face=sans-serif
      size=2>1,640,329</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Residential Asset Securities
      Corp. Ser. 01-KS3,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%"><FONT face=sans-serif
      size=2>Class AII, 5.553s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>3,647,672</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>3,648,581</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<!--$$/page=-->
<A name="page_8"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Residential Asset Securities Corp. 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-N10B, Class A1, 5s, 2034</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">55,016</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">54,776</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-KS10, Class B, 8.073s, 2035</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">395,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">348,738</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Residential Mortgage Securities 144A FRB Ser. 20A,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class B1A, 5.433s, 2038 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">150,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">275,897</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">40,687</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">40,655</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">SAIL Net Interest Margin Notes 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">49,754</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">28,275</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">17,341</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">11,771</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">12,875</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">9,182</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">3,426</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">2,082</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">20,842</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">15,173</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">7,301</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,168</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">10,334</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,240</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">75,194</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">15,791</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">84,918</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">84,595</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">12,344</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">12,308</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Sasco Net Interest Margin Trust 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">273,210</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">32,785</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 05-WF1A, Class A, 4 3/4s, 2035 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">112,805</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">112,016</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Sharps SP I, LLC Net Interest Margin Trust 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-HE2N, Class NA, 5.43s, 2034 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">9,200</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">9,062</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-HS1N, Class Note, 5.92s, 2034 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">3,804</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">3,804</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class M10, 7.823s, 2036</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">392,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">339,582</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">South Coast Funding 144A FRB Ser. 3A, Class A2, 6.36s,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2038 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">140,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">140,126</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Structured Asset Investment Loan Trust FRB Ser. 04-9,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class A4, 5.623s, 2034</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">5,369,520</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">5,373,681</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Structured Asset Investment Loan Trust 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-HE3, Class M11, 7.823s, 2035</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">436,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">353,389</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 06-BNC2, Class B1, 7.823s, 2036</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">293,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">260,803</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Structured Asset Receivables Trust 144A FRB Ser. 05-1,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">5.575s, 2015</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">1,792,845</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,792,285</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2038 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">467,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">463,947</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">6.84s, 2037 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">390,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">379,520</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Wells Fargo Home Equity Trust 144A Ser. 04-2,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class N2, 8s, 2034 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">110,248</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">110,263</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Wells Fargo Mortgage Backed Securities Trust Ser.</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">05-AR13, Class 1A4, IO, 0.742s, 2035</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">15,450,406</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">315,652</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class B3, 6s, 2044 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">733,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">732,817</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Whole Auto Loan Trust 144A Ser. 04-1, Class D, 5.6s,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">202,237</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">200,573</FONT>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">&#36;88,123,071</FONT></B>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<B><FONT size=2 face="sans-serif">Total asset-backed securities (cost &#36;89,888,918)</FONT></B>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<B><FONT size=2 face="sans-serif">COLLATERALIZED MORTGAGE OBLIGATIONS (12.2%)(a)</FONT></B>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">Principal amount</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">Value</FONT>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=4>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Amresco Commercial Mortgage Funding I Ser. 97-C1,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class G, 7s, 2029</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">&#36;434,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">&#36;435,053</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Banc of America Commercial Mortgage, Inc. Ser. 01-1,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class G, 7.324s, 2036</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">325,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">338,210</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Banc of America Commercial Mortgage, Inc. 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">163,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">160,714</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">367,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">276,766</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Banc of America Large Loan 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 02-FL2A, Class L1, 8.13s, 2014</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">141,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">140,719</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 02-FL2A, Class K1, 7.63s, 2014</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">99,841</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-BOCA, Class M, 7.299s, 2016</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">355,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">354,833</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-MIB1, Class K, 7.199s, 2022</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">645,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">634,681</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-ESHA, Class K, 6.984s, 2020</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">712,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">711,994</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-BOCA, Class L, 6.899s, 2016</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">183,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">182,904</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 06-LAQ, Class M, 6.8s, 2021</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">548,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">549,761</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 06-LAQ, Class L, 6.7s, 2021</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">342,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">342,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-BOCA, Class K, 6.549s, 2016</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">200,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">199,886</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Bear Stearns Commercial Mortgage Securities, Inc. 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-LXR1, Class J, 6.849s, 2018</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">696,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">696,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Bear Stearns Commercial Mortgage Securitization Corp.</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 00-WF2, Class F, 8.455s, 2032</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">410,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">448,540</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Broadgate Financing PLC sec. FRB Ser. D, 5.414s, 2023</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">(United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">463,125</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">853,973</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Commercial Mortgage Pass-Through Certificates 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 01-FL5A, Class G, 5.963s, 2013 (acquired</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">9/26/05, cost &#36;1,068,630) (RES)</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">1,074,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,068,630</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-F10A, Class A1, 5.299s, 2017</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">3,059,467</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">3,058,705</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">CS First Boston Mortgage Securities Corp. 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-TFLA, Class L, 7.049s, 2020</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">699,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">698,995</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-TFLA, Class K, 6.499s, 2020</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">388,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">387,998</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">966,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">931,552</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">354,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">312,780</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1,</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Class X, IO, 0.985s, 2031</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">17,461,914</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">311,049</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">DLJ Commercial Mortgage Corp.</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 98-CF2, Class B4, 6.04s, 2031</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">286,492</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">281,769</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 98-CF2, Class B5, 5.95s, 2031</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
<FONT size=2 face="sans-serif">915,958</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">820,583</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=51% nowrap align=left>
<FONT size=2 face="sans-serif">DLJ Mortgage Acceptance Corp. 144A</FONT>&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=18% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>



<!--$$/page=-->
<A name="page_9"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 97-CF1, Class B2, 8.16s, 2030</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">275,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">220,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 97-CF1, Class B1, 7.91s, 2030</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">266,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">268,725</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">European Loan Conduit FRB Ser. 6X, Class E, 6.402s,</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">2010 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">358,417</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">663,814</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">European Loan Conduit 144A</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 6A, Class F, 6.902s, 2010 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">128,006</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">237,124</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 22A, Class D, 5.502s, 2014 (Ireland)</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">507,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">937,595</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Class D, 5.514s, 2014 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">360,915</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">667,306</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Fannie Mae</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-62, Class PS, 9.42s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">860,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">874,143</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 06-20, Class IP, IO, 8s, 2030</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">428,785</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">90,726</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-48, Class SL, 7.665s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">221,709</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">214,530</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-W8, Class 3A, 7 1/2s, 2044</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">442,017</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">458,064</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-W2, Class 5A, 7 1/2s, 2044</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,530,225</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,585,267</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">372,829</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">386,117</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W4, Class 4A, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">116,414</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">120,085</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W3, Class 1A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">250,102</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">258,487</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">303,259</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">313,444</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W2, Class 1A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">5,500</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">5,685</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-W1, Class 2A, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">489,134</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">503,436</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-14, Class A2, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">2,387</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,463</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">307,059</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">316,390</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,460</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,504</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T8, Class A1, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,955</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">4,069</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T7, Class A1, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,213,547</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,248,057</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">184,628</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">189,989</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">584,862</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">602,628</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">237,831</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">246,199</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">116,966</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">120,292</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-W7, Class A5, 7 1/2s, 2029</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">197,123</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">203,612</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">548,766</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">569,100</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-W3, Class A5, 7 1/2s, 2028</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,236</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,276</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-W12, Class 1A3, 7s, 2044</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">456,728</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">467,512</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 01-T10, Class A1, 7s, 2041</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,201,044</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,224,341</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-42, Class PS, 6.338s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">786,565</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">735,438</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class CS, 5.383s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">694,329</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">652,097</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class CP, 5.234s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">609,013</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">571,735</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-76, Class SA, 5.234s, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">862,211</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">800,202</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-27, Class SP, 5.051s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">791,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">733,109</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-8, Class HP, 5.051s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">992,580</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">915,083</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-8, Class WK, 5.051s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,506,405</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,378,144</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-106, Class US, 5.051s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,486,929</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,392,840</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-99, Class SA, 5.051s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">724,804</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">672,729</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-114, Class SP, 4.943s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">419,399</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">377,328</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class CP, 4.081s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">115,837</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">106,708</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class OP, 3.915s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">360,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">298,261</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-93, Class AS, 3.569s, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">324,670</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">275,780</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class QP, 3.556s, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">232,177</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">199,275</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 02-36, Class QH, IO, 2.728s, 2029</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">224,143</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">3,262</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 03-66, Class SA, IO, 2.328s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,368,958</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">94,759</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 03-48, Class S, IO, 2.228s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">622,703</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">42,325</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-56, Class TP, 2.183s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">275,689</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">231,299</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-113, Class DI, IO, 1.908s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">7,784,871</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">399,802</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 04-51, Class S0, IO, 1.728s, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">348,017</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">15,552</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-65, Class DS, IO, 1.569s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,105,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">49,898</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-105, Class S, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,032,838</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">46,155</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class CI, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,529,613</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">75,098</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-84, Class SG, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">2,695,819</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">130,577</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-87, Class SG, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,394,141</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">143,246</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-69, Class AS, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">709,445</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">34,031</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-104, Class NI, IO, 1.378s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">466,807</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">25,591</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 04-92, Class S, IO, 1.378s, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">2,181,822</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">99,207</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-104, Class SI, IO, 1.378s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,514,622</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">166,097</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class QI, IO, 1.368s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">384,184</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">21,476</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-92, Class SC, IO, 1.358s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,596,292</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">172,571</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-20, Class PI, IO, 1.358s, 2030</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,253,175</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">99,666</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class SL, IO, 1.348s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">6,981,121</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">294,355</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-20, Class IG, IO, 1.328s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">9,736,971</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">387,194</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-8, Class NS, IO, 1.308s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">4,579,487</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">216,585</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-45, Class SM, IO, 1.278s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">2,380,523</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">100,434</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-20, Class IB, IO, 1.268s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">4,172,456</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">158,795</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class OI, IO, 1.268s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">214,822</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">11,729</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-42, Class CI, IO, 1.228s, 2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">7,649,800</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">326,185</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 03-112, Class SA, IO, 1.178s, 2028</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,342,732</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">35,553</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W17, Class 12, IO, 1.154s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,097,897</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">90,511</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W10, Class 1A, IO, 1.11s, 2043</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">4,524,660</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">63,790</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 03-W10, Class 3A, IO, 1.087s, 2043</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">5,447,108</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">86,181</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-67, Class BS, IO, 0.828s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,794,634</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">52,437</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class SE, IO, 0.778s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">2,458,129</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">54,616</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-87, Class SE, IO, 0.728s, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">13,427,698</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">285,246</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 04-54, Class SW, IO, 0.678s, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">831,039</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">16,792</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-T18, IO, 0.524s, 2042</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">8,570,577</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">99,907</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 05-113, Class DO, Principal Only (PO), zero %,</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">2036</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">1,196,469</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">919,658</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 363, Class 1, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">4,447,921</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">3,028,718</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 361, Class 1, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">3,282,251</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,397,754</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-38, Class AO, PO, zero %, 2034</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">380,613</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">266,429</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 342, Class 1, PO, zero %, 2033</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">279,479</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">202,400</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 02-82, Class TO, PO, zero %, 2032</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">235,500</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">174,013</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=49% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-61, Class CO, PO, zero %, 2031</FONT>&nbsp;
	</TD>
	<TD width=22% nowrap align=left>
&nbsp;
	</TD>
	<TD width=17% nowrap align=left>
<FONT size=2 face="sans-serif">517,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">376,764</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>



<!--$$/page=-->
<A name="page_10"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">86,841</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">68,604</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 99-52, Class MO, PO, zero %, 2026</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,960</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,891</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 05-117, Class GF, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">352,197</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">335,411</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Federal Home Loan Mortgage Corp. Structured</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Pass-Through Securities</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. T-59, Class 1A3, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">495,114</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">513,496</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. T-58, Class 4A, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">7,754</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">8,007</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. T-41, Class 3A, 7 1/2s, 2032</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,188,825</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,225,379</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. T-60, Class 1A2, 7s, 2044</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,277,638</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,329,650</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. T-57, Class 1AX, IO, 0.454s, 2043</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,890,276</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">27,660</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FFCA Secured Lending Corp. Ser. 00-1, Class X, IO,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">1.408s, 2020</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">6,387,760</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">354,677</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Freddie Mac</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3153, Class UK, 8.227s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">218,607</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">219,028</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2963, Class SV, 7.805s, 2034</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">313,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">296,983</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2763, Class SC, 7.805s, 2032</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">382,691</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">374,211</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 3114, Class BL, IO, 7 1/2s, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">164,314</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">33,103</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3081, Class DC, 5.766s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">584,846</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">522,055</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3114, Class GK, 5.605s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">387,016</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">347,378</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2979, Class AS, 5.211s, 2034</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">258,872</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">239,780</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3072, Class SA, 5.065s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">225,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">194,414</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3072, Class SM, 4.735s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">361,909</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">307,764</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3072, Class SB, 4.588s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">342,504</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">289,483</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3065, Class DC, 4.264s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">879,085</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">741,240</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3050, Class SA, 3.878s, 2034</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">629,326</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">533,958</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2770, Class SH, IO, 1.901s, 2034</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,814,786</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">111,934</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2828, Class TI, IO, 1.851s, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">857,003</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">47,269</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3033, Class SF, IO, 1.601s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,265,444</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">40,731</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3028, Class ES, IO, 1.551s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">4,233,678</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">235,231</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3042, Class SP, IO, 1.551s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">991,640</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">55,433</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3045, Class DI, IO, 1.531s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">11,745,432</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">444,566</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3054, Class CS, IO, 1.501s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">990,588</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">38,078</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3107, Class DC, IO, 1.501s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">4,417,220</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">243,575</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3066, Class SI, IO, 1.501s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,866,102</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">151,984</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3031, Class BI, IO, 1.491s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">812,108</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">46,140</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3067, Class SI, IO, 1.451s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">3,327,140</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">185,877</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3114, Class TS, IO, 1.451s, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">5,737,303</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">213,056</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3114, Class BI, IO, 1.451s, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,464,714</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">76,672</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3174, Class BS, IO, 1.44s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">4,044,900</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">139,942</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3065, Class DI, IO, 1.421s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">641,487</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">33,562</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3081, Class DI, IO, 1.281s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">834,618</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">36,482</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3016, Class SP, IO, 0.911s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">848,283</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">20,011</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 3016, Class SQ, IO, 0.911s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,014,083</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">50,352</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2937, Class SY, IO, 0.901s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">798,993</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">20,814</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 2815, Class S, IO, 0.801s, 2032</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,971,218</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">41,703</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 236, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">752,884</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">538,795</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 3045, Class DO, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">898,174</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">668,783</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 231, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">5,518,582</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">3,817,819</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 228, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">3,256,518</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">2,338,393</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 215, PO, zero %, 2031</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">174,753</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">142,896</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 2235, PO, zero %, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">205,733</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">154,493</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 3022, Class TC, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">163,873</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">200,796</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 2986, Class XT, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">97,218</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">108,641</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 3046, Class WF, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">234,526</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">236,648</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 3054, Class XF, zero %, 2034</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">99,547</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">106,905</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">GE Capital Commercial Mortgage Corp. 144A</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 00-1, Class F, 7.786s, 2033</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">170,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">177,535</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 00-1, Class G, 6.131s, 2033</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">596,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">518,380</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">GMAC Commercial Mortgage Securities, Inc. 144A Ser.</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">99-C3, Class G, 6.974s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">529,968</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">527,686</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Government National Mortgage Association</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-66, Class SP, 3.473s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">532,350</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">445,736</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-26, Class S, IO, 1.42s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">876,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">35,762</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-65, Class SI, IO, 1.083s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,171,395</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">71,270</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-68, Class SI, IO, 1.033s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">7,118,968</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">251,600</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 06-14, Class S, IO, 0.983s, 2036</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,135,381</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">64,144</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-51, Class SJ, IO, 0.933s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,119,319</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">68,435</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">IFB Ser. 05-68, Class S, IO, 0.933s, 2035</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">4,178,993</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">131,920</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 98-2, Class EA, PO, zero %, 2028</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">88,211</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">66,799</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Class L, 8.449s, 2015</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">214,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">215,204</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Class G, 6.41s, 2031</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">253,101</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">231,170</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Lehman Brothers Floating Rate Commercial Mortgage</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Trust 144A FRB Ser. 03-LLFA, Class L, 8.934s, 2014</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">876,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">875,190</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Mach One Commercial Mortgage Trust 144A</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class J, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">594,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">473,622</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class K, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">212,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">164,499</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class L, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">96,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">68,220</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Class JS, IO, 2.139s, 2028</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">4,782,516</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">215,027</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Class X, IO, 8.05s, 2037</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,019,193</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">372,443</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Morgan Stanley Capital I Ser. 98-CF1, Class E, 7.35s,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">2032</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,252,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,240,834</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Morgan Stanley Capital I 144A Ser. 04-RR, Class F7,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">6s, 2039</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">1,730,000</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">1,184,480</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Mortgage Capital Funding, Inc.</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">FRB Ser. 98-MC2, Class E, 7.095s, 2030</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">327,112</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">333,252</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. 97-MC2, Class X, IO, 1.402s, 2012</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
<FONT size=2 face="sans-serif">2,303,648</FONT>&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
<FONT size=2 face="sans-serif">19,618</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=57% nowrap align=left>
<FONT size=2 face="sans-serif">Permanent Financing PLC FRB Ser. 8, Class 2C, 5.7s,</FONT>&nbsp;
	</TD>
	<TD width=31% nowrap align=left>
&nbsp;
	</TD>
	<TD width=10% nowrap align=left>
&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" 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="53%"><FONT face=sans-serif
      size=2>2042 (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>499,813</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>PNC Mortgage Acceptance Corp.
      144A Ser. 00-C1,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Class J, 6 5/8s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>123,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>113,942</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Quick Star PLC FRB Ser. 1, Class
      D, 5.527s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>(United Kingdom)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>374,996</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>693,481</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><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="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>303,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>296,524</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>STRIPS 144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class M, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>162,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>132,947</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. 03-1A, Class N, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>193,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>144,833</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class M, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>174,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>142,680</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. 04-1A, Class N, 5s, 2018
      (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>167,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>125,414</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Titan Europe PLC
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRB Ser. 05-CT1A, Class D,
      5.702s, 2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>627,604</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,160,629</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRB Ser. 05-CT2A, Class E,
      5.677s, 2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>344,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>636,159</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRB Ser. 04-2A, Class D, 3.664s,
      2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>350,545</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>448,172</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRB Ser. 04-2A, Class C, 3.264s,
      2014 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>158,748</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>202,959</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>URSUS EPC 144A FRB Ser. 1-A,
      Class D, 5.542s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>(Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>417,781</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>772,603</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Wachovia Bank Commercial
      Mortgage Trust 144A FRB Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>05-WL5A, Class L, 8.499s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>477,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>476,118</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$81,017,156</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=2
     >Total collateralized mortgage obligations (cost
      $85,763,554)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="53%"><B><FONT
      face=sans-serif size=2
     >SENIOR LOANS (8.5%)(a)(c)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&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="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><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;&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=2
     >Basic Materials (0.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Georgia-Pacific Corp. bank term
      loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>7.161s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>$845,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$844,705</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Graphic Packaging Corp. bank
      term loan FRN Ser. C,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>7.515s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>131,094</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>132,077</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Hercules, Inc. bank term loan
      FRN Ser. B, 6.526s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>368,537</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>368,629</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Huntsman International, LLC bank
      term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>7.044s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>759,334</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>755,181</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Innophos, Inc. bank term loan
      FRN 7.27s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>271,148</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>271,318</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Nalco Co. bank term loan FRN
      Ser. B, 6.912s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>1,206,873</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,205,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Novelis, Inc. bank term loan FRN
      7.38s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>376,556</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>377,026</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Novelis, Inc. bank term loan FRN
      Ser. B, 7.38s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>654,314</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>655,132</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Rockwood Specialties Group, Inc.
      bank term loan FRN</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Ser. E, 7.126s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>1,387,990</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,389,339</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >5,998,470</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="53%"><B><FONT
      face=sans-serif size=2
     >Capital Goods (0.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Allied Waste Industries, Inc.
      bank term loan FRN Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>A, 4.88s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>62,900</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>62,564</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Allied Waste Industries, Inc.
      bank term loan FRN Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>B, 6.759s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>161,547</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>160,666</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Graham Packaging Corp. bank term
      loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>7.213s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>395,980</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>396,277</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Hexcel Corp. bank term loan FRN
      Ser. B, 6.813s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>547,412</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>547,641</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Invensys, PLC bank term loan FRN
      Ser. B-1, 8.501s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>2009 (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>33,380</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>33,380</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Mueller Group, Inc. bank term
      loan FRN Ser. B, 7.364s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>604,755</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>607,131</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Polypore, Inc. bank term loan
      FRN 7.98s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>711,411</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>716,154</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Solo Cup Co. bank term loan FRN
      7.532s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>146,625</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>146,992</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Terex Corp. bank term loan FRN
      7.059s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>148,837</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>148,837</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Terex Corp. bank term loan FRN
      Ser. C, 7.559s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>744,201</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>747,922</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Transdigm, Inc. bank term loan
      FRN 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>250,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >3,817,564</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="53%"><B><FONT
      face=sans-serif size=2
     >Communication Services (0.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Centennial Cellular Operating
      Co., LLC bank term loan</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRN Ser. B, 7.248s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>973,277</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>975,710</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Consolidated Communications
      Holdings bank term loan</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>FRN Ser. D, 6.78s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>124,255</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>123,789</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Fairpoint Communications, Inc.
      bank term loan FRN Ser.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>B, 6 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>543,116</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>540,808</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Intelsat Bermuda, Ltd. bank term
      loan FRN Ser. B, 6</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>3/4s, 2011
      (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>593,970</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>593,722</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Level 3 Communications, Inc.
      bank term loan FRN 8s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>299,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Madison River Capital, LLC bank
      term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>7.26s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>796,423</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>797,419</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>PanAmSat Corp. bank term loan
      FRN Ser. B1, 7.184s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>972,026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>971,783</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Syniverse Holdings, Inc. bank
      term loan FRN Ser. B,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>6.73s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>555,841</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>555,841</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Valor Telecommunications
      Enterprises LLC/Finance Corp.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>bank term loan FRN Ser. B,
      6.753s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>543,333</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>543,107</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Windstream Corp. bank term loan
      FRN Ser. B, 5 3/4s,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>288,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>288,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >5,690,404</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="53%"><B><FONT
      face=sans-serif size=2
     >Consumer Cyclicals (1.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>Adams Outdoor Advertising, LP
      bank term loan FRN</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=2>6.846s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>840,107</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>841,857</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<!--$$/page=-->
<A name="page_12"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Affinion Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.925s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">846,069</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">848,977</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Wembley, Inc. bank term loan FRN 6.991s, 2011 (United</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">148,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">148,407</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CCM Merger, Inc. bank term loan FRN Ser. B, 7.417s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">990,003</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">986,043</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Coinmach Service Corp. bank term loan FRN Ser. B-1,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.715s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">249,496</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">250,223</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. B, 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/2s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">377,583</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">378,716</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. C, 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/2s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">607,417</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">609,239</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dex Media West, LLC bank term loan FRN Ser. B1,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.631s, 2010 (U)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">588,745</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">584,697</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dex Media West, LLC/Dex Media Finance Co. bank term</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">loan FRN Ser. B, 6.757s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">137,562</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">136,780</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Goodman Global Holdings bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.938s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">709,874</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">707,434</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Goodyear Tire &amp; Rubber Co. (The) bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.954s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">195,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">195,609</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Visant Holding Corp. bank term loan FRN Ser. C,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.318s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">938,506</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">941,243</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Landsource, Inc. bank term loan FRN Ser. B, 7.688s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">50,063</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Neiman Marcus Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.77s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">474,684</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">477,354</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Penn National Gaming, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.899s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">198,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">198,913</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">PRIMEDIA, Inc. bank term loan FRN Ser. B, 7.38s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">148,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">146,495</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">R.H. Donnelley Finance Corp. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">D, 6.683s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">209,526</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">208,404</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">R.H. Donnelley, Inc. bank term loan FRN Ser. D,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">5.696s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">498,737</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">496,066</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">R.H. Donnelley, Inc. bank term loan FRN Ser. D1,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.85s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">397,980</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">395,443</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Raycom Media, Inc. bank term loan FRN Ser. B, 6 1/2s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">447,663</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">444,306</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Sealy Corp. bank term loan FRN Ser. D, 7.098s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">468,096</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">468,242</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Standard-Pacific Corp. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.671s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">200,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">198,250</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Sun Media Corp. bank term loan FRN Ser. B, 7.126s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2009 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">150,291</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">150,040</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. B-1, 8.034s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">173,250</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">174,441</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. DD, 5.62s, 2012 (U)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">174,125</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">175,322</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">TRW Automotive, Inc. bank term loan FRN Ser. B, 6</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/4s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">518,900</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">517,747</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">TRW Automotive, Inc. bank term loan FRN Ser. B2,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.813s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">119,700</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">119,700</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Venetian Casino Resort, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.73s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">664,302</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">664,302</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Venetian Casino Resort, LLC bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">DD, 6.73s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">136,969</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">136,969</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Veterinary Centers of America, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. B, 6 5/8s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">289,001</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">289,001</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">William Carter Holdings Co. (The) bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ser. B, 6.703s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">78,779</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">78,615</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">12,018,898</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Consumer Staples (2.4%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Affinity Group Holdings bank term loan FRN Ser. B2,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.593s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">116,973</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">117,558</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">AMC Entertainment, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.216s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">199,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">199,498</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ashtead Group PLC bank term loan FRN Ser. B, 6.938s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2009 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">247,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">247,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Avis Budget Car Rental bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.35s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">350,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">347,069</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Brand Services, Inc. bank term loan FRN 7.383s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Burger King Corp. bank term loan FRN Ser. B-1, 6 1/2s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">184,408</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">183,976</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Burlington Coat Factory Warehouse Corp. bank term loan</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">FRN Ser. B, 7.53s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">349,125</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">338,277</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cablevision Systems Corp. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.886s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,097,250</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,091,192</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CBRL Group, Inc. bank term loan FRN Ser. B, 6.63s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">131,690</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">131,130</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CBRL Group, Inc. bank term loan FRN Ser. DD, 5 3/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2007 (U)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">18,310</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">18,253</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cebridge Connections, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.379s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">350,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">347,750</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Century Cable Holdings bank term loan FRN 10 1/4s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">900,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">860,143</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Charter Communications bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.755s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,028,831</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,030,344</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Cinemark, Inc. bank term loan FRN Ser. C, 6.895s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">247,468</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">247,236</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Constellation Brands, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.786s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">136,082</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">136,398</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Constellation Brands, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.556s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">796,424</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">798,272</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">DirecTV Holdings, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>



<!--$$/page=-->
<A name="page_13"></A>

<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.794s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">731,486</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">730,978</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Gray Television, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.49s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">149,250</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">149,157</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Insight Midwest, LP/Insight Capital, Inc. bank term</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">loan FRN 7s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">68,250</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">68,214</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Jack-in-the-Box, Inc. bank term loan FRN 6.613s, 2008</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">197,475</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">197,886</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Jean Coutu Group, Inc. bank term loan FRN Ser. B, 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">5/8s, 2011 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">499,790</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">500,068</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">C, 6.921s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">987,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">983,620</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">DD, 7.38s, 2015</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">120,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">119,450</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">MGM Studios, Inc. bank term loan FRN Ser. B, 7.229s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">897,750</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">901,423</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Olympus Cable Holdings, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">10 1/4s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">500,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">477,578</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Pinnacle Foods Holding Corp. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.986s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">646,350</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">646,512</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Regal Cinemas, Inc. bank term loan FRN Ser. B, 7s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">538,964</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">538,045</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Reynolds American, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.256s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">250,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">250,664</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Six Flags, Inc. bank term loan FRN Ser. B, 7.317s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">428,779</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">430,464</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Spanish Broadcasting Systems, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.73s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">445,489</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">444,746</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Spectrum Brands, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">8.115s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">739,297</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">740,683</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Universal City Development bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.12s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,027,035</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,026,393</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Warner Music Group bank term loan FRN Ser. B, 7.222s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">342,894</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">343,179</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.734s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">890,183</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">886,845</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">15,630,501</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Energy (0.4%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN 7.033s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">60,606</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">60,417</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN 7.033s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">63,636</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">63,438</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN Ser. DD, 6 3/4s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013 (U)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">42,424</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">42,292</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">CR Gas Storage Canadian bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.033s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">333,333</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">332,292</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Dresser, Inc. bank term loan FRN 8.65s, 2010</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">180,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">183,150</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Key Energy Services, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">8.4s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">895,500</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">898,858</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Meg Energy Corp. bank term loan FRN 7s, 2013 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">99,750</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">99,999</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Meg Energy Corp. bank term loan FRN Ser. DD, 6s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">(Canada) (U)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">99,804</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Petroleum Geo-Services ASA bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">7.48s, 2012 (Norway)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">64,206</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">64,387</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Targa Resources, Inc. bank term loan FRN 7.328s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">636,321</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">636,851</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Targa Resources, Inc. bank term loan FRN 4.854s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">153,871</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">153,999</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Universal Compression, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.48s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">147,378</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">147,931</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">2,783,418</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Financial (0.4%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Ameritrade Holding Corp. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.6s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">506,533</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">505,140</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Capital Automotive bank term loan FRN 6.86s, 2010 (R)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,149,943</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,147,068</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Fidelity National Information Solutions bank term loan</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">FRN Ser. B, 6.92s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">607,947</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">607,235</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Nasdaq Stock Market, Inc (The) bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">B, 6.969s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">252,849</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">252,407</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Nasdaq Stock Market, Inc (The) bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">C, 6.974s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">146,784</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">146,564</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">2,658,414</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Health Care (0.6%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Alderwoods Group, Inc. bank term loan FRN 7.082s, 2009</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">605,129</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">605,129</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Community Health Systems, Inc. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">B, 6.97s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">315,387</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">315,557</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">DaVita, Inc. bank term loan FRN Ser. B, 6.992s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">541,957</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">542,578</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Fresenius Medical Care AG &amp; Co. KGaA bank term loan</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">FRN Ser. B, 6.384s, 2013 (Germany)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">93,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">92,026</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Healthsouth Corp. bank term loan FRN Ser. B, 8.52s,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">1,200,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">1,199,143</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Kinetic Concepts, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">6.73s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">49,971</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">50,241</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">LifePoint, Inc. bank term loan FRN Ser. B, 6.905s, 2012</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">916,222</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">914,314</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<B><FONT size=2 face="sans-serif">3,718,988</FONT></B>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR>
	<TD colspan=3>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<B><FONT size=2 face="sans-serif">Technology (0.2%)</FONT></B>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Extensity, Inc. bank term loan FRN Ser. B, 7.668s, 2011</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">49,906</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">JDA Software Group, Inc. bank term loan FRN Ser. B, 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/4s, 2013</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">Nortel Networks, Inc. bank term loan FRN Ser. A, 7</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=58% nowrap align=left>
<FONT size=2 face="sans-serif">1/8s, 2007 (Canada)</FONT>&nbsp;
	</TD>
	<TD width=30% nowrap align=left>
<FONT size=2 face="sans-serif">250,000</FONT>&nbsp;
	</TD>
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">249,375</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>

<A name=page_14></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>SunGard Data Systems, Inc. bank
      term loan FRN Ser. B,</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>7.66s, 2013</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>790,435</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>792,345</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>UGS Corp. bank term loan FRN
      Ser. C, 7.09s, 2012</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>425,724</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>424,660</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >1,566,286</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="50%"><B><FONT
      face=sans-serif size=2
     >Transportation (0.1%)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Travelcenters of America bank
      term loan FRN Ser. B,</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>6.784s, 2011</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>547,250</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>547,250</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>United Airlines bank term loan
      FRN Ser. B, 8 5/8s, 2012</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>306,250</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>309,121</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>United Airlines bank term loan
      FRN Ser. DD, 8 7/8s,</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>2012</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>43,750</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>44,160</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >900,531</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="50%"><B><FONT
      face=sans-serif size=2
     >Utilities &amp; Power (0.2%)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>El Paso Corp. bank term loan FRN
      4.729s, 2009</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>208,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>208,924</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>El Paso Corp. bank term loan FRN
      Ser. B, 7 3/4s, 2009</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>457,087</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>459,690</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>NRG Energy, Inc. bank term loan
      FRN Ser. B, 7.23s, 2013</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>696,255</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>696,650</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >1,365,264</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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$56,148,738</FONT></B>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >Total senior loans (cost $56,462,676)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%"><B><FONT
      face=sans-serif size=2
     >PURCHASED OPTIONS (0.4%)(a)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Expiration
    date/strike</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%"><B><FONT
      face=sans-serif size=2
     >Contract amount</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>strike price</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>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Option on an interest rate swap
      with Lehman Brothers Special Financing,</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Inc. for the obligation to pay a
      fixed rate swap of 4.545% semi-annually</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>versus the six month
      USD-LIBOR-BBA maturing June 9, 2016.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR 24,030,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Jun 11/EUR 4.545</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$642,097</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Option on an interest rate swap
      with Lehman Brothers</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Special Financing, Inc. for the
      right to receive a</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>fixed rate of 4.545% versus the
      six month</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>EUR-EURIBOR-Telerate maturing on
      June 9, 2016.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR 24,030,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Jun 11/EUR 4.545</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>596,014</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Option on an interest rate swap
      with Citibank, N.A. London for the</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>obligation to pay a fixed rate
      of 4.55% versus the six month EUR-</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>EURIBOR-Telerate maturing on
      June 8, 2016.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR 24,030,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Jun 11/EUR 4.555</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>632,881</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Option on an interest rate swap
      with Citibank, N.A.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>London for the right to receive
      a fixed rate of 4.55%</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>versus the six month
      EUR-EURIBOR-Telerate maturing on</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>June 8, 2016.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>EUR 24,030,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Jun 11/EUR 4.555</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>608,303</FONT>&nbsp;</TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$2,479,295</FONT></B>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >Total purchased options (cost $2,510,564)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%"><B><FONT
      face=sans-serif size=2
     >UNITS (0.3%)(a) (cost $1,180,933)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>Units</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;&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>XCL, Ltd. Equity Units
      (F)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>991</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$1,954,038</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>
    <TD width="99%" colSpan=4>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >PREFERRED STOCKS (0.1%)(a)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><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=4>
      <HR noShade SIZE=1>
      &nbsp;&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>First Republic Capital Corp.
      144A 10.50% pfd.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>320</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$340,800</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Ion Media Networks, Inc. 14.25%
      cum. pfd. (PIK)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>10</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>85,000</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Rural Cellular Corp. Ser. B,
      11.375% cum. pfd.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>426</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>515,460</FONT>&nbsp;</TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$941,260</FONT></B>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >Total preferred stocks (cost $746,701)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%"><B><FONT
      face=sans-serif size=2
     >COMMON STOCKS (--%)(a)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><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=4>
      <HR noShade SIZE=1>
      &nbsp;&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Comdisco Holding Co., Inc.
      (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>506</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$7,747</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Contifinancial Corp. Liquidating
      Trust Units</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>3,445,121</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,077</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Crown Castle International Corp.
      (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>497</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>17,166</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Knology, Inc.
    (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>199</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,851</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Sterling Chemicals, Inc.
      (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>110</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>1,531</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Sun Healthcare Group, Inc.
      (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>740</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>6,431</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>USA Mobility,
    Inc.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>12</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>199</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>VFB LLC (acquired 10/27/00, cost
      $594,553)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>(F)(RES)(NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>948,004</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>20,145</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>WHX Corp. (NON)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>18,832</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>173,254</FONT>&nbsp;</TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$229,401</FONT></B>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >Total common stocks (cost $3,633,535)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%"><B><FONT
      face=sans-serif size=2
     >CONVERTIBLE PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><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=4>
      <HR noShade SIZE=1>
      &nbsp;&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Emmis Communications Corp. Ser.
      A, $3.125 cum. cv. pfd.</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>2,441</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>$109,235</FONT>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif
      size=2>Ion Media Networks, Inc. 144A
      9.75% cv. pfd. (PIK)</FONT>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%"><FONT face=sans-serif
      size=2>17</FONT>&nbsp;</TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>119,000</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="50%">&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$228,235</FONT></B>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><B><FONT
      face=sans-serif size=2
     >Total convertible preferred stocks (cost
    $284,218)</FONT></B>&nbsp;</TD>
    <TD noWrap align=left width="17%">&nbsp;</TD>
    <TD noWrap align=left width="21%">&nbsp;</TD>
    <TD noWrap align=left width="11%"
BASEALIGN="left">&nbsp;</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_15></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >WARRANTS (--%)(a)(NON)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>Expiration date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT
      size=2>Strike</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><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 vAlign=bottom>
    <TD noWrap align=left width="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>price</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
     ><HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Dayton Superior Corp.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>6/15/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>.01</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><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>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>MDP Acquisitions PLC 144A
      (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>10/01/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>EUR .001</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><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="43%"><FONT face=sans-serif
      size=2>Ubiquitel, Inc.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>4/15/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=2>22.74</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><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 vAlign=bottom>
    <TD noWrap align=left width="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$14,251</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >Total warrants (cost $116,394)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >EQUITY VALUE CERTIFICATES (--%)(a) (cost
      $55,184)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>Maturity date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><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 width="99%" colSpan=5>
      <HR noShade SIZE=1>
      &nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>ONO Finance PLC 144A (United
      Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif
      size=2>2/15/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><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>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >SHORT-TERM INVESTMENTS (16.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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 noWrap align=left width="99%" background="" colSpan=5
     ><HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>Putnam Prime Money Market Fund
      (e)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>$105,443,557</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$105,443,557</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>U.S. Treasury Bills for an
      effective rate of 4.76%,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="43%"><FONT face=sans-serif
      size=2>August 17, 2006
      (SEG)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,392,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>1,383,458</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$106,827,015</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >Total short-term investments (cost
      $106,827,015)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >TOTAL INVESTMENTS</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT
      face=sans-serif size=2
     >$704,771,952</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >Total investments (cost $717,675,833)(b)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp;
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_16></A>
<P align=left><B><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY
at 6/30/06 (aggregate face value $84,098,701) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   >&nbsp; </TD>
    <TD noWrap align=left width="31%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="9%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   >&nbsp; </TD>
    <TD noWrap align=left width="31%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >Aggregate&nbsp;</FONT> </TD>
    <TD noWrap align=left width="9%" background=""
   ><FONT
      size=1>Delivery</FONT>&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >appreciation/</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   >&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >Value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >face value&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%" background=""
   ><FONT
    size=1>date</FONT>&nbsp;</TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(depreciation)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
   >
      <HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Australian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >$16,960,523</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >$17,082,130</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >7/19/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >($121,607)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >British Pound</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >8,772,496</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >8,784,267</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(11,771)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Canadian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >18,151,423</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >18,096,231</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >7/19/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >55,192</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Czech Koruna</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >1,695,287</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,691,635</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >3,652</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Danish Krone</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >1,209,398</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,225,036</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(15,638)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Euro</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >7,227,905</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >7,119,504</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >108,401</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Japanese Yen</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >9,114,629</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >9,185,459</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >8/16/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(70,830)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Malaysian Ringgit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >1,686,561</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,681,328</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >8/16/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >5,233</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >New Zealand Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >243</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >256</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >7/19/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(13)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Norwegian Krone</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >9,701,925</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >9,922,754</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(220,829)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Polish Zloty</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >2,225,660</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >2,255,729</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(30,069)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Slovak Koruna</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >1,686,965</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,687,671</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(706)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >South Korean Won</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >3,600,583</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >3,671,179</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >8/16/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(70,596)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Swedish Krona</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >21,597</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >21,186</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >411</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=1
     >Thai Baht</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   ><FONT face=sans-serif size=1
     >1,685,258</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,674,336</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >8/16/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >10,922</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><B><FONT face=sans-serif size=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="9%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >($358,248)</FONT>&nbsp;
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_17></A>
<P align=left><B><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO SELL
at 6/30/06 (aggregate face value $143,207,553) (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="33%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="9%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   >&nbsp; </TD>
    <TD noWrap align=left width="33%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >Aggregate&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%" background=""
   ><FONT
      size=1>Delivery</FONT>&nbsp;</TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >appreciation/</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   >&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >Value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >face value&nbsp;</FONT> </TD>
    <TD noWrap align=left width="9%" background=""
   ><FONT
      size=1>date</FONT>&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(depreciation)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=5
   >
      <HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Australian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >$19,583,320</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >$19,864,872</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >7/19/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >$281,552</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >British Pound</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >10,680,881</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >10,683,256</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >2,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Canadian Dollar</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >6,993,126</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >6,880,868</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >7/19/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(112,258)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Euro</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >34,895,158</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >35,029,392</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >134,234</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Japanese Yen</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >42,884,201</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >42,757,926</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >8/16/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(126,275)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Norwegian Krone</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >1,703,112</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >1,676,602</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(26,510)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Swedish Krona</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >13,717,183</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >13,664,284</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(52,899)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"
   ><FONT face=sans-serif size=1
     >Swiss Franc</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   ><FONT face=sans-serif size=1
     >12,720,075</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >12,650,353</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >9/20/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >(69,722)</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=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="33%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD>
    <TD noWrap align=left width="9%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >$30,497</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="48%"
   ><B><FONT face=sans-serif size=1
     >FUTURES CONTRACTS
      OUTSTANDING at 6/30/06 (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   >&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   >&nbsp; </TD>
    <TD noWrap align=left width="3%"
   >&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   >&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT size=1>Number of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Expiration</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >appreciation/</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   >&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT size=1>contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(depreciation)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=6
   >
      <HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Canadian Goverment Bond 10 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >$1,091,590</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >$(18,744)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Euro 90 day (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >176</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >41,544,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(244,679)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Euro 90 day (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >52</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >12,277,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Mar-07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >30,409</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Euro-Bobl 5 yr (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >697,485</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >117</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Euro-Bund 10 yr (Short)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >2,506,421</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >10,814</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Euro-Schatz 2 yr (Long)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >9</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >1,196,560</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(1,583)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >Japanese Government Bond 10 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >37</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >42,616,360</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >32,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >U.K. Gilt 10 yr (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >22</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >4,430,554</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(51,740)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >U.S. Treasury Bond 20 yr
      (Long)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >461</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >49,168,531</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >59,847</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >U.S. Treasury Note 10 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >819</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >85,879,828</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >551,998</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >U.S. Treasury Note 2 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >237</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >48,059,156</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >173,335</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><FONT face=sans-serif size=1
     >U.S. Treasury Note 5 yr
      (Short)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   ><FONT face=sans-serif size=1
     >540</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >55,839,375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"
   ><FONT face=sans-serif size=1
     >Sep-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >313,087</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="48%"
   ><B><FONT face=sans-serif size=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="3%"
   >&nbsp; </TD>
    <TD noWrap align=left width="11%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="12%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><B><FONT face=sans-serif size=1
     >$854,911</FONT></B>&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="65%"><B><FONT
      face=sans-serif size=1
     >WRITTEN OPTIONS OUTSTANDING at 6/30/06 (premiums
      received $468,959) (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=1>Contract</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>Expiration date/</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=1>amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>strike price</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=4
     ><HR noShade SIZE=1>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=1>Option on an interest rate swap
      with Citibank dated January 27, 2006 for the obligation</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=1>to pay a fixed rate of 0.60%
      versus the six month JPY-LIBOR maturing on January 31,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=1>2008.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=1>JPY 15,458,500,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$597,242</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=1>Option on an interest rate swap
      with Citibank for the right to receive a fixed rate of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><FONT face=sans-serif
      size=1>1.165% versus the one year
      JPY-LIBOR maturing on April 3, 2008.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif
      size=1>JPY 13,104,267,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>266,442</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=4>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="65%"><B><FONT
      face=sans-serif size=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$863,684</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_20></A>
<P align=left><B><FONT face=sans-serif size=2>TBA SALE COMMITMENTS OUTSTANDING
at 6/30/06 (proceeds receivable $3,140,750) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="40%">&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=2>Principal</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>Settlement</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif
      size=2>Agency</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=2>amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><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>
      &nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif
      size=2>FNMA, 5 1/2s, July 1,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=2>$3,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=2>7/18/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT
      face=sans-serif size=2
     >$3,140,000</FONT></B>&nbsp; </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="87%" colSpan=5><B><FONT
      face=sans-serif size=2
     >INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/06
      (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp;<BR><BR><BR></TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Payments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Payments</FONT>&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="24%" colSpan=2><FONT
      face=sans-serif size=2>Swap
      counterparty /</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>Termination</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>made by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>received by</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="24%" colSpan=2><FONT
      face=sans-serif size=2>Notional
      amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>fund per annum</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>fund per annum</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=6>
      <HR noShade SIZE=1>
      &nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="24%" colSpan=2><B><FONT
      face=sans-serif size=2
     >Bank of America, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$10,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>9/1/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.53%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>$(731,089)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>16,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>3/30/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3.075%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>946,633</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>1/27/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.35%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>318,800</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="24%" colSpan=2><B><FONT
      face=sans-serif size=2
     >Citibank, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>NOK</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>47,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/14/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      NOK-NIBOR-NIBR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3.40%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(143,315)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      EUR-EURIBOR-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>5,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/14/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2.7515%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Telerate</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>233,592</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>CAD</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>13,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>5/10/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.884%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month CAD-BA-CDOR</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>173,618</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,863,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/26/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1.56125%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>77,396</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,200,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/22/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1.9225%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(96,392)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>5,372,749,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/3/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1 year
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1.165%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>18,802</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      EUR-EURIBOR-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>20,750,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/26/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3.8345%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Telerate</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>175,611</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>380,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/21/36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2.775%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>54,035</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      EUR-EURIBOR-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>2,300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/22/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2.825%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Telerate</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>84,131</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>NOK</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>18,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/22/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      NOK-NIBOR-NIBR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3.52%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(41,798)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,300,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>2/10/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1.755%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(281,502)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%" colSpan=3><B><FONT
      face=sans-serif size=2
     >Credit Suisse First Boston
      International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$5,699,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/9/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.945%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>204,863</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>5,048,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>7/9/06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>2.931%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>10,014</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="24%" colSpan=2><B><FONT
      face=sans-serif size=2
     >Credit Suisse International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>1,480,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>4/3/36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>GBP 3,728,462 at
      maturity</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>155,981</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%" colSpan=3><B><FONT
      face=sans-serif size=2
     >HSBC Bank USA, National Associates</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>CAD</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>52,747,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>2/16/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month CAD-BA-CDOR</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.20%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>92,816</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>CAD</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>12,604,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>2/16/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.5875%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month CAD-BA-CDOR</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>296,076</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="24%" colSpan=2><B><FONT
      face=sans-serif size=2
     >JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$25,100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>9/2/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.4505%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(1,982,354)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>70,918,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>5/4/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.37%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(296,982)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>22,964,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>5/4/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.62375%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>161,573</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>26,740,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>6/30/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.095%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      GBP-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>--</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>7,460,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>6/6/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>1.83%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>49,407</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$30,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>6/17/15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.5505%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(2,433,951)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>134,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>6/17/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.0825%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>2,010,618</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>8,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>3/6/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.176%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(216,842)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%" colSpan=3><B><FONT
      face=sans-serif size=2
     >Lehman Brothers Special Financing,
      Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>4,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>1/26/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.3375%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>322,381</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>9,188,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif
      size=2>12/11/13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>4.641%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>(581,672)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </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="7%"><FONT face=sans-serif
      size=2>GBP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>1,365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3/15/36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="28%"><FONT face=sans-serif
      size=2>GBP 3,304,438 at
      maturity</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      GBP-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>215,678</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>95,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>3/6/08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="28%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.133%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>468,099</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="35%" colSpan=3><B><FONT
      face=sans-serif size=2
     >Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="28%">&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="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      EUR-EURIBOR-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,500,000</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="28%"><FONT face=sans-serif
      size=2>2.801%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Telerate</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>132,593</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>NOK</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>28,000,000</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="28%"><FONT face=sans-serif
      size=2>6 month
      NOK-NIBOR-NIBR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3.54%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(60,268)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      EUR-EURIBOR-</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>46,900,000</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="28%"><FONT face=sans-serif
      size=2>2.5645%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Telerate</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>332,346</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=2>JPY</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>3,770,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>12/15/07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="28%"><FONT face=sans-serif
      size=2>0.7411%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>6 month
      JPY-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>8,045</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>3 month U.S. Bond
      Market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Association Municipal
      Swap</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>8,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>11/22/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="28%"><FONT face=sans-serif
      size=2>4.1735%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>4,595</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=2>6,000,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=2>11/22/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="28%"><FONT face=sans-serif
      size=2>3 month
      USD-LIBOR-BBA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=2>5.711%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=2>(13,500)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=2>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="7%"><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="12%">&nbsp; </TD>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT
      face=sans-serif size=2
     >$(331,962)</FONT></B>&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="63%" colSpan=5><B><FONT
      face=sans-serif size=1
     >TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/06
      (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>Upfront</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>Fixed payments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Total return</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="19%" colSpan=2><FONT
      face=sans-serif size=1>Swap
      counterparty /</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>premium</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>Termination</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>received (paid) by</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>received by</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="19%" colSpan=2><FONT
      face=sans-serif size=1>Notional
      amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>received (paid)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>fund per annum</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>or paid by fund</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="19%" colSpan=2><B><FONT
      face=sans-serif size=1
     >Credit Suisse International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >EUR</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>$16,889,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>4/26/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>2.14%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>French Non-revised
      Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>(30,229)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Price Index excluding
      tobacco</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >EUR</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>16,889,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>4/26/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>(2.15%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Euro Non-revised
      Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>133,874</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Price Index excluding
      tobacco</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >GBP</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>1,480,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>4/3/36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>3.1225%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>GBP Non-revised Retail
      Price</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>26,881</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="19%" colSpan=2><B><FONT
      face=sans-serif size=1
     >Goldman Sachs</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >GBP</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>1,345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>9/15/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>678 bp (1 month
      USD-LIBOR)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Ford Credit Auto Owner
      Trust</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>(11,596)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Series 2005-B Class
      D</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="19%" colSpan=2><B><FONT
      face=sans-serif size=1
     >JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >EUR</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>10,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/16/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>(2.245%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Euro Non-revised
      Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>(73,204)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Price Index excluding
      tobacco</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >EUR</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>10,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/16/14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>(2.275%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Euro Non-revised
      Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>49,671</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Price Index excluding
      tobacco</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="30%" colSpan=3><B><FONT
      face=sans-serif size=1
     >Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >GBP</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif
      size=1>1,365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>3/15/36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif
      size=1>GBP 2,065,993 at
      maturity:</FONT>&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>GBP Non-revised Retail
      Price</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>4,797</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%"><FONT face=sans-serif
      size=1>Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="5%"><B><FONT face=sans-serif
      size=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT
      face=sans-serif size=1
     >$100,194</FONT></B>&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="50%" colSpan=2><B><FONT
      face=sans-serif size=1
     >CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/06
      (Unaudited)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><BR><BR>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>Upfront</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>Fixed payments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>Swap counterparty /</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>premium</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>Notional</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>Termination</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>received (paid) by</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>appreciation/</FONT>&nbsp;
</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>Referenced debt*</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>received (paid)**</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>amount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>fund per annum</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(depreciation)</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
      &nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Bank of America, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 3
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>$24,008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>$960,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>360 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$60,526</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>47,895</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,824,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>360 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>117,280</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>18,006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>4,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(164,586)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(12,004)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(103,300)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. 7 5/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>590,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>9/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(111 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(459)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. 7 5/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(101 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>358</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Citibank, N.A.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>507</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>405,750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(2,299)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>3,453</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>212,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>1,984</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,623,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>80 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(2,642)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>850,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>74 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(4,109)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Citigroup Financial Products, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(677.5 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>230,609</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >CreditSuisse First Boston International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>Republic of Argentina, 8.28s,
      2033</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>7/20/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(214 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(11,631)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Deutsche Bank AG</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>Republic of Indonesia, 6.75s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>575,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>9/20/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>294 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>49</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>Republic of Indonesia, 6.75s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>575,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>9/20/16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>292 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(690)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Goldman Sachs Capital Markets, L.P.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 3
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>14,044</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>864,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>46,911</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>14,645</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(76,651)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 5
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(241,095)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>13,774,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>12/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(395 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(768,912)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>5,223</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>522,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>1,612</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,089,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>74 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(8,895)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 5 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>753,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>12/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(115 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(10,122)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 5 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>811,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>12/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(113 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(10,255)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Goldman Sachs International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>1,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>520,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(2,295)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,080,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>85 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>617</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>One of the underlying securities
      in the basket of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>BB CMBS securities</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>3,768,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>(a)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>2.461%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>188,931</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 3
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>23,767</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>864,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>56,634</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>24,968</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>4,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(157,624)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(29,289)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,342,400</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(360 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(118,394)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(1,259)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>503,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(4,741)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>3,116</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>415,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>243</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>5,133</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>513,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>1,584</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,014,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>96 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>10,016</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,662,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>74 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(7,351)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,053,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>72 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(19,679)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>551,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>309 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>27,685</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,170,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(124.5 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(46,233)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. 7 5/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>585,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(92 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>3,159</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Merrill Lynch International</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 4
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>27,289</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,056,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>360 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>67,459</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Merrill Lynch International &amp; Co. C.V.</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA IG Series 5 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>753,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>12/20/12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>246 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>5,769</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><B><FONT
      face=sans-serif size=1
     >Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="16%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&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="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(3,956)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>527,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(7,603)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(2,670)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>534,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(6,362)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(1,733)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>346,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(4,128)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>533,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(3,685)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6
      Index</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>5,313</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>531,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>(345 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>1,640</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>107.5 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>21,032</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,136,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>106 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>19,952</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>1,386,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>103.5 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>11,421</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,132,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>885 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(5,532)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>73 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(29,095)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>8,633</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>531,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>345 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>4,960</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"><FONT face=sans-serif
      size=1>DJ CDX NA HY Series 6 Index
      25-35% tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>--</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>2,125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif
      size=1>6/20/11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="16%"><FONT face=sans-serif
      size=1>74 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>(10,272)</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="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >-- </FONT></TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>4,097,500</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >(62 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >3,281</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >--&nbsp;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>1,722,000</FONT>&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >6/20/12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >275 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >54,278</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >-- </FONT></TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>1,669,000</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >(114 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(29,808)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 4 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >-- </FONT></TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>551,000</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >6/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >(110.5 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(9,052)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 5 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >-- </FONT></TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>753,000</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >12/20/12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >248 bp</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >6,580</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><FONT face=sans-serif size=1
     >DJ CDX NA IG Series 5 Index 3-7%
      tranche</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >-- </FONT></TD>
    <TD noWrap align=left width="13%" background=""
   ><FONT
      size=1>753,000</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="9%"
   ><FONT face=sans-serif size=1
     >12/20/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"
   ><FONT face=sans-serif size=1
     >(115 bp)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><FONT face=sans-serif size=1
     >(10,122)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="36%"
   ><B><FONT face=sans-serif size=1
     >Total</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="26%" colSpan=2
   >&nbsp; </TD>
    <TD noWrap align=left width="9%"
   >&nbsp; </TD>
    <TD noWrap align=left width="15%"
   >&nbsp; </TD>
    <TD noWrap align=left width="13%"
   ><B><FONT face=sans-serif size=1

     >$(691,957)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=1>* </FONT></B><B><I><FONT
face=sans-serif size=1>Payments related to the reference debt are made upon a
credit default event.</FONT></I></B></P>
<P align=left><B><FONT face=sans-serif size=1>** </FONT></B><B><I><FONT
face=sans-serif size=1>Upfront premium is based on the difference between the
original spread on issue and the market spread on day of
execution.</FONT></I></B></P>
<P align=left><B><FONT face=sans-serif size=1>(a) </FONT></B><B><I><FONT
face=sans-serif size=1>Terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the reference entity
are liquidated.</FONT></I></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_26></A>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif
size=2>NOTES</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>(a) Percentages indicated are based
on net assets of $663,544,342.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) The aggregate identified cost on
a tax basis is $719,139,368 resulting in gross unrealized appreciation and
depreciation of $7,855,297 and $22,222,713, respectively, or net unrealized
depreciation of $14,367,416.</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 June 30, 2006. 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 fund and the borrower will fail to meet its
obligations to the fund, in addition to the risk that the borrower under the
loan may default on its obligations.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(DEF) Security is in default of
principal and interest.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>(NON) Non-income-producing
      security.</FONT><BR></TD></TR></TABLE></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 June 30, 2006 was $1,778,975 or 0.3% 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 June 30, 2006.</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>(SN)&nbsp;The securities noted above
were purchased during the period for an aggregate cost of $1,261,308. After the
end of the period, questions arose regarding a potential misidentification of
the characteristics of these securities. As a result of initial inquiries into
the matter, the value of these securities was adjusted to the values shown in
this schedule aggregating $826,790. An investigation of the facts surrounding
the acquisition and valuation of these securities is currently underway to
determine whether the Fund may have claims against other parties in this
regard.</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 $3,549,266 for the period ended June 30, 2006. During the period ended
June 30, 2006, cost of purchases and cost of sales of investments in Putnam
Prime Money Market Fund aggregated $255,579,890 and $195,251,657,
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. As of June 30, 2006, the fund had unfunded
loan commitments of $404,570 which could be extended at the option of the
borrower, pursuant to the following loan agreements with the following
borrowers:</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="56%">&nbsp; </TD>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >Unfunded</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><B><FONT
      face=sans-serif size=2
     >Borrower</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="43%"><B><FONT
      face=sans-serif size=2
     >commitments</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>C/R Gas Storage</FONT>&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>$42,424</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>CBRL Group, Inc.</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>18,310</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>Dex Media West, LLC</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>70,148</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>Meg Energy Corp.</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>100,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><FONT face=sans-serif
      size=2>Trump Hotel &amp; Casino Resort,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>173,688</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="56%"></TD>
    <TD width="43%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="56%"><B><FONT
      face=sans-serif size=2
     >Totals</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="43%"><FONT face=sans-serif
      size=2>$404,570</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>At June 30, 2006, liquid assets
totaling $160,224,470 have been designated as collateral for open forward
commitments, swap contracts and forward contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>144A after the name of an issuer
represents securities 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 June
30, 2006.</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_27></A>
<TABLE cellSpacing=1 cellPadding=0 width="85%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><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</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >interest rates. As interest rates rise,
      inverse floaters produce less current income. The interest rates shown are
      the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >current interest rates at June 30,
      2006.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&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="34%"
   ><FONT face=sans-serif size=2
     >DIVERSIFICATION BY COUNTRY</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >Distribution of investments by country
      of issue at June 30, 2006: (as a percentage of Portfolio
      Value)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Argentina</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.0%</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Brazil</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.6</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Canada</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.2</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Cayman Islands</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Colombia</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >0.6</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >France</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Germany</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >3.5</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Ireland</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >2.4</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Japan</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >4.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Luxembourg</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >0.6</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Mexico</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >0.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Sweden</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >0.7</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >United Kingdom</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >2.1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >United States</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >76.3</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >Other</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >1.8</FONT>&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="34%"
   ><FONT face=sans-serif size=2
     >Total</FONT>&nbsp; </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   ><FONT face=sans-serif size=2
     >100.0%</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><B><FONT face=sans-serif size=2
     >Security valuation
      </FONT></B><FONT face=sans-serif size=2
     >Investments for which market quotations are readily available
      are valued at the last reported sales</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >price on their principal exchange, or
      official closing price for certain markets. If no sales are reported-- as
      in the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >case of some securities traded
      over-the-counter-- a security is valued at its last reported bid price.
      Market</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >quotations are not considered to be
      readily available for certain debt obligations; such investments are
      valued on the</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >basis of valuations furnished by an
      independent pricing service approved by the Trustees or dealers selected
      by Putnam</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >Investment Management, LLC (&#147;Putnam
      Management&#148;), the fund&#146;s manager, an indirect wholly-owned subsidiary
      of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >Putnam, LLC. Such services or dealers
      determine valuations for normal institutional-size trading units of
      such</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >securities using methods based on
      market transactions for comparable securities and various relationships,
      generally</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >recognized by institutional traders,
      between securities. Many securities markets and exchanges outside the U.S.
      close</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >prior to the close of the New York
      Stock Exchange and therefore the closing prices for securities in such
      markets or on</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >such exchanges may not fully reflect
      events that occur after such close but before the close of the
      New</FONT>&nbsp;<FONT size=2>York Stock</FONT> </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >&nbsp;Exchange. Accordingly, on certain
      days, the fund will fair value foreign equity securities taking into
      account multiple factors,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="34%"
   ><FONT face=sans-serif size=2
     >including movements in the U.S.
      securities markets.</FONT>&nbsp;<FONT size=2>The number of days on which
      fair value prices will be used will depend on market</FONT> </TD>
    <TD noWrap align=left width="58%"
   >&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >activity and it is possible that fair
      value prices will be used by the fund to a significant extent. Securities
      quoted in foreign currencies, if any,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >are translated into U.S. dollars at the
      current exchange rate. Other investments, including certain restricted
      securities, are valued at fair</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >value following procedures approved by
      the Trustees. Such valuations and procedures are reviewed periodically by
      the Trustees. The fair</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >value of securities is generally
      determined as the amount that the fund could reasonably expect to realize
      from an orderly disposition of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >such securities over a reasonable
      period of time. By its nature, a fair value price is a good faith estimate
      of the value of a security at a given</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >point in time and does not reflect an
      actual market price.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><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>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3
     >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >Other investments, including certain
      restricted securities, are valued at fair value following procedures
      approved</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="92%" colSpan=2
   ><FONT face=sans-serif size=2
     >by the Trustees. Such valuations and
      procedures are reviewed periodically by the Trustees.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"
   >&nbsp; </TD></TR></TABLE><BR>
<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> 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><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. </FONT><FONT face=sans-serif
size=2>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, or for other investment purposes. 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</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_28></A>
<P align=left><FONT face=sans-serif size=2>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>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><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 an independent pricing service or 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>
<P align=left><B><FONT face=sans-serif size=2>Credit default contracts
</FONT></B><FONT face=sans-serif size=2>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 an independent pricing service or 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. 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>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><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> 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> 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>
<HR align=center width="100%" noShade SIZE=2>










































<!--$$/page=--><A name=page_1></A>
<P align=left><U><FONT face=sans-serif size=2>Item 2. Controls and
Procedures:</FONT></U><BR></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><BR></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><BR></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>Putnam Master Intermediate Income
Trust</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><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: August 28, 2006
</FONT><BR></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><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: August 28, 2006
</FONT><BR><FONT face=sans-serif size=2><BR>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:
August 28 , 2006 </FONT><BR></P>
<HR align=center width="100%" noShade SIZE=2>




























</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>b_exnncert.htm
<DESCRIPTION>EX-99.CERT
<TEXT>
<!DOCTYPE HTML PUBLIC "e_074_cert.pdf">


<HTML>
<HEAD>
   <TITLE>b_exnncert.htm</TITLE>
   <META name="HandheldFriendly" content="true">
</HEAD>

<BODY bgcolor="#ffffff">
<!--$$/page=--><A name=page_1></A>
<P align=left><U><FONT face=sans-serif size=2>Certifications</FONT></U><FONT
face=sans-serif size=2> <BR></FONT><FONT face=sans-serif size=2>I, Charles E.
Porter, the Principal Executive Officer of the funds listed on Attachment A,
certify that: </FONT></P>
<P align=left><FONT face=sans-serif size=2>1. I have reviewed each report on
Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align=left><FONT face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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><FONT face=sans-serif size=2>/s/ Charles E. Porter
</FONT><BR><FONT face=sans-serif
size=2>_____________________________</FONT><BR><FONT face=sans-serif
size=2>Date: August 24, 2006 </FONT><BR><FONT face=sans-serif size=2>Charles E.
Porter </FONT><BR><FONT face=sans-serif size=2>Principal Executive Officer
</FONT><BR></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_2></A>
<P align=left><U><FONT face=sans-serif size=2>Certifications</FONT></U><FONT
face=sans-serif size=2> <BR></FONT><FONT face=sans-serif size=2>I, Steven D.
Krichmar, the Principal Financial Officer of the funds listed on Attachment A,
certify that: </FONT></P>
<P align=left><FONT face=sans-serif size=2>1. I have reviewed each report on
Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align=left><FONT face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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 face=sans-serif size=2>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><FONT face=sans-serif size=2>/s/ Steven D.
Krichmar</FONT><BR><FONT face=sans-serif
size=2>_______________________________</FONT><BR><FONT face=sans-serif
size=2>Date: August 24, 2006 </FONT><BR><FONT face=sans-serif size=2>Steven D.
Krichmar</FONT><BR><FONT face=sans-serif size=2>Principal Financial Officer
</FONT><BR></P>
<HR align=center width="100%" noShade SIZE=2>


<!--$$/page=-->
<A name="page_3"></A>

<P align="left">
<FONT face="sans-serif"> </FONT><FONT size=1 face="sans-serif">Attachment A </FONT><BR>
<FONT size=1 face="sans-serif">NQ </FONT><BR>
<FONT size=1 face="sans-serif">Period (s) ended June 30, 2006 </FONT><BR>
</P>
<TABLE border=0 width=85% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">074</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Master Intermediate Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">054</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam High Yield Municipal Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">033</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam American Government Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">027</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam California Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">259</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">250</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">264</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">075</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Diversified Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">010</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">062</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Tax Exempt Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">23T</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Prime Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">032</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam U.S. Government Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">539</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam International New Opportunities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=12% nowrap align=left>
<FONT size=2 face="sans-serif">011</FONT>&nbsp;
	</TD>
	<TD width=87% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

<HR noshade align="center" width="100%" size=2>


</BODY>

</HTML>

</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
