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Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
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<SEC-DOCUMENT>0000928816-07-000305.txt : 20070228
<SEC-HEADER>0000928816-07-000305.hdr.sgml : 20070228
<ACCEPTANCE-DATETIME>20070228114444
ACCESSION NUMBER:		0000928816-07-000305
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20061231
FILED AS OF DATE:		20070228
DATE AS OF CHANGE:		20070228
EFFECTIVENESS DATE:		20070228

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:		07655961

	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_masterintinc.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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<P align=center><FONT face=sans-serif size=2>UNITED STATES</FONT><BR>
<FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION </FONT><BR>
<FONT face=sans-serif size=2>Washington, D.C. 20549 </FONT></P>
<P align=center><B><FONT face=sans-serif size=2>FORM N-Q </FONT></B></P>
<P align=center><B><FONT face=sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT </FONT></B><BR>
<B><FONT face=sans-serif size=2>INVESTMENT COMPANY</FONT></B><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>Investment Company Act file number: (811- </FONT><FONT face=sans-serif size=2>05498 </FONT><FONT face=sans-serif size=2>) </FONT></P>
<P align=left><FONT face=sans-serif size=2>Exact name of registrant as specified in charter: </FONT><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT></P>
<P align=left><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Name and address of agent for service:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Copy to:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code: (617) 292-1000 </FONT></P>
<P align=left><FONT face=sans-serif size=2>Date of fiscal year end: </FONT><FONT face=sans-serif size=2>September 30, 2007</FONT></P>
<P align=left><FONT face=sans-serif size=2>Date of reporting period: December 31, 2006 </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Schedule of Investments:</FONT></U><FONT face=sans-serif size=2> </FONT></P>
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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=5>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=4>The fund's portfolio</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif>12/31/06 (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><B><FONT face=sans-serif size=2>CORPORATE BONDS AND NOTES (18.1%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><B><FONT face=sans-serif size=2>Basic Materials (1.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Abitibi-Consolidated, Inc. notes 7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>$130,138</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Builders FirstSource, Inc. company guaranty FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>9.624s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>142,626</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Chaparral Steel Co. company guaranty 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>486,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>542,498</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><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="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(Germany)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>148,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>213,561</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Compass Minerals International, Inc. sr. disc. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><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="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>271,463</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Compass Minerals International, Inc. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><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="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>775,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>765,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Covalence Specialty Materials Corp. 144A sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>notes 10 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>711,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>650,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Crystal US Holdings, LLC sr. disc. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>379,620</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Equistar Chemicals LP/Equistar Funding Corp. company</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>guaranty 10 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>451,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>479,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>358,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>383,955</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Huntsman, LLC company guaranty 11 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>284,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>112,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><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="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>191,429</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>264,293</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Lyondell Chemical Co. company guaranty 10 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>170,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>86,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>91,160</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><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="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>628,235</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Momentive Performance Materials, Inc. 144A sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>430,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Momentive Performance Materials, Inc. 144A sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>notes 11 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>143,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>140,140</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>232,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>136,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>139,570</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Nalco Co. sr. sub. notes 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>108,372</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Nalco Co. sr. sub. notes 8 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$583,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>617,251</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>NewPage Corp. sec. notes 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>126,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>132,930</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>8 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>237,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>239,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Novelis, Inc. 144A sr. notes 8 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>215,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>PQ Corp. company guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>63,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>62,055</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Rockwood Specialties Group, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>421,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Stone Container Corp. sr. notes 9 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>129,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Stone Container Corp. sr. notes 8 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>235,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>United States Steel Corp. sr. notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>324,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>344,655</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><B><FONT face=sans-serif size=2>8,958,847</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><B><FONT face=sans-serif size=2>Capital Goods (1.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>129,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>129,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Allied Waste North America, Inc. company guaranty Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>B, 8 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>732,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>769,515</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Blount, Inc. sr. sub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>455,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>464,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>73,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>73,091</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>214,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>220,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Crown Euro Holdings SA company guaranty 6 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(France)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>107,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>146,774</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Decrane Aircraft Holdings Co. company guaranty zero %,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>2008 (acquired 7/23/04, cost $323,523) (RES)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$986,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>704,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>2,370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>2,322,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>854,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>824,110</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Manitowoc Co., Inc. (The) company guaranty 10 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>161,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Milacron Escrow Corp. sec. notes 11 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>116,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Owens-Brockway Glass company guaranty 7 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>181,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>185,978</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Owens-Brockway Glass Container, Inc. sr. sec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>867,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>919,020</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><B><FONT face=sans-serif size=2>7,038,261</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><B><FONT face=sans-serif size=2>Communication Services (0.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>American Cellular Corp. company guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>193,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Cincinnati Bell, Inc. company guaranty 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>578,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>578,723</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>239,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Inmarsat Finance PLC company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>230,248</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>866,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>797,803</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>iPCS, Inc. sr. notes 11 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>333,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Qwest Communications International, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>363,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Qwest Corp. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,671,739</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=sans-serif size=2>Qwest Corp. sr. notes 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>409,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>437,630</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Qwest Corp. sr. unsec 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>79,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>77,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%">&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><B><FONT face=sans-serif size=2>5,001,466</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><B><FONT face=sans-serif size=2>Consumer Cyclicals (2.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>585,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>613,519</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>170,569</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>133,665</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>337,021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>351,766</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Dex Media West, LLC/Dex Media Finance Co. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ser. B, 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>605,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>628,444</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Dex Media, Inc. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>111,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>114,330</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>548,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. notes 7 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>247,035</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>195,415</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>621,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>665,373</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. sr. unsec 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>158,696</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. sr. unsec. FRN 8.11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>126,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>124,899</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Ford Motor Credit Corp. 144A sr. unsecd. notes 9 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>472,332</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) sr. notes 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>418,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>437,855</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) 144A sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>8 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>247,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Hanesbrands, Inc. 144A sr. notes FRN 8.735s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>86,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>735,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>718,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>726,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>K. Hovnanian Enterprises, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>138,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>140,070</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>K. Hovnanian Enterprises, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>269,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>268,328</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>651,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>701,453</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. notes 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>297,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>194,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>185,755</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Meritor Automotive, Inc. notes 6.8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>71,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>69,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>468,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>500,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 6s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,006,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Movie Gallery, Inc. sr. unsecd. notes 11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>146,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>84,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>474,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Park Place Entertainment Corp. sr. sub. notes 7 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>411,788</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>247,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>249,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>PRIMEDIA, Inc. company guaranty 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>148,920</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>PRIMEDIA, Inc. sr. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>542,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>524,385</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>67,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>64,236</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. notes 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>268,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>256,945</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Reader's Digest Association, Inc. (The) sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>6 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>375,038</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Resorts International Hotel and Casino, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>guaranty 11 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>464,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Scientific Games Corp. company guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>626,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>611,915</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>735,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>768,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Standard Pacific Corp. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>101,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>100,243</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>301,703</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>71,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>262,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>161,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>163,415</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>401,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>116,415</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>United Auto Group, Inc. 144A sr. sub. notes 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>346,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>661,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>663,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Vertis, Inc. 144A sub. notes 13 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><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>Wimar Opco, LLC. 144A sr. sub. notes 9 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>990,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>551,531</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%">&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><B><FONT face=sans-serif size=2>18,638,706</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><B><FONT face=sans-serif size=2>Consumer Staples (2.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>539,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>456,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>452,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Archibald Candy Corp. company guaranty 10s, 2007 (In</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>default) (F)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>90,153</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>4,711</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Avis Budget Car Rental, LLC 144A sr. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>275,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Brand Services, Inc. company guaranty 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>565,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>624,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>164,078</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>CCH I Holdings, LLC company guaranty stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>zero % (12 1/8s, 1/15/07), 2015 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>49,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>44,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>CCH I, LLC/Capital Corp. sec. notes 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>1,347,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,382,359</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>259,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>270,331</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>86,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>89,978</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>434,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Cinemark USA, Inc. sr. sub. notes 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>21,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>(9 3/4s, 3/15/09), 2014 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="31%"><FONT face=sans-serif size=2>990,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>850,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Constellation Brands, Inc. company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="31%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


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

<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8s, 2008</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">825,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">843,563</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Constellation Brands, Inc. sr. sub. notes Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8 1/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">425,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">442,531</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">595,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">606,156</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,068,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,041,300</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">264,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">266,640</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">320,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">316,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">560,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">590,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,026,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">983,678</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">2,119,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,066,025</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Interpublic Group of Companies, Inc. notes 6 1/4s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">118,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">109,740</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">741,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">758,599</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Playtex Products, Inc. company guaranty 9 3/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">170,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">177,225</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Playtex Products, Inc. sec. notes 8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">770,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">804,650</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">450,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">459,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Rainbow National Services, LLC 144A sr. notes 8 3/4s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">471,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">495,139</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Remington Arms Co., Inc. company guaranty 10 1/2s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">302,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">286,145</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Sbarro, Inc. company guaranty 11s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">726,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">736,890</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Scotts Co. (The) sr. sub. notes 6 5/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">255,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">267,113</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Six Flags, Inc. sr. notes 9 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">370,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">343,175</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Supervalu, Inc. sr. notes 7 1/2s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,775,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,850,796</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. company guaranty 10s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">431,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">409,450</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">293,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">253,811</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">19,261,636</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Energy (3.7%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,347,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,336,898</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">403,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">422,143</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">812,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">782,565</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">269,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">280,096</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,031,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,073,529</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">279,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">283,534</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Complete Production Services, Inc. 144A sr. notes 8s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2016</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">515,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">527,875</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">510,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">494,700</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">725,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">735,875</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">540,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">561,600</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Gaz Capital for Gazprom 144A notes 6.212s, 2016</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Luxembourg)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,745,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,757,215</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">7,900,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">9,460,250</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Harvest Operations Corp. sr. notes 7 7/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">584,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">553,340</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Hornbeck Offshore Services, Inc. sr. notes Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6 1/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">517,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">493,089</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Massey Energy Co. sr. notes 6 5/8s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">774,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">774,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Newfield Exploration Co. sr. notes 7 5/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">700,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">731,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">348,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">348,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">655,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">618,975</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">424,317</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">432,917</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pacific Energy Partners/Pacific Energy Finance Corp.</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">sr. notes 7 1/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">355,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">364,305</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">864,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">907,200</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">670,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">686,750</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pride International, Inc. sr. notes 7 3/8s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">826,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">852,845</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">24,479,201</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Financial (1.2%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Bosphorus Financial Services, Ltd. 144A sec. FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.174s, 2012 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,445,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,464,902</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">310,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">311,163</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Finova Group, Inc. notes 7 1/2s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">431,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">124,990</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. FRN 6.324s, 2007</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">350,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">350,277</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. FRN Ser. MTN, 6.225s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2007</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">695,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">695,046</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 7 3/4s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">90,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">94,200</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 6 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">68,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">69,824</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. notes 6 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">345,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">354,361</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">General Motors Acceptance Corp. sr. unsub. notes</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">5.85s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">33,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">32,875</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">UBS Luxembourg SA for Sberbank unsec. sub. notes</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">stepped-coupon 6.23s (7.429s, 2/11/10), 2015</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Luxembourg) (STP)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,400,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,416,800</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">3,010,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">3,216,938</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">8,131,376</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Government (1.0%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">558,250</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">587,972</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pemex Project Funding Master Trust company guaranty</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">5 3/4s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">5,838,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">5,797,134</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">6,385,106</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Health Care (1.2%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Community Health Systems, Inc. sr. sub. notes 6 1/2s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">183,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">180,255</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">153,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">153,383</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">HCA, Inc. notes 6 3/8s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">212,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">179,670</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">HCA, Inc. notes 5 3/4s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">260,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">215,800</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>HCA, Inc. 144A sec. notes 9 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>591,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>HCA, Inc. 144A sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>690,956</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>595,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>493,850</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>740,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>708,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>172,125</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>535,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>532,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>724,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>696,850</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>358,313</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>299,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>304,233</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>825,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>839,438</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>443,100</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>628,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>635,850</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>344,650</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</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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 3/4s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>201,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>207,030</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>176,893</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>7,924,521</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><B><FONT face=sans-serif size=2>Technology (0.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>346,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. notes 9 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>2014 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>380,606</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>768,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>765,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>10 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>384,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>384,480</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>721,000</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>13,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>10,790</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>SunGard Data Systems, Inc. company guaranty 9 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>357,000</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=right width="23%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>203,865</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Xerox Corp. sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$278,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>291,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Xerox Corp. unsec. sr. notes 6 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>159,885</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>3,621,171</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><B><FONT face=sans-serif size=2>Transportation (0.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>CalAir, LLC/CalAir Capital Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>760,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>759,050</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><B><FONT face=sans-serif size=2>Utilities &amp; Power (1.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>AES Corp. (The) sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>54,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>58,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>493,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>CMS Energy Corp. sr. notes 8.9s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>627,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>189,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Colorado Interstate Gas Co. sr. notes 5.95s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>171,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>154,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>179,740</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>El Paso Corp. sr. notes Ser. *, 6 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>202,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><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="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>376,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>El Paso Production Holding Co. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>993,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,038,926</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>505,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Mission Energy Holding Co. sec. notes 13 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>749,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>825,773</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Monongahela Power Co. 1st mtge. 6.7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>423,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>236,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Orion Power Holdings, Inc. sr. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>655,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>743,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>SEMCO Energy, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>521,867</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Teco Energy, Inc. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>196,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Teco Energy, Inc. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>294,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Teco Energy, Inc. sr. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>32,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>33,440</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Utilicorp Canada Finance Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>612,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>645,806</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Utilicorp United, Inc. sr. notes 9.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>18,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>19,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Williams Cos., Inc. (The) notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>162,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>173,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Williams Partners LP/ Williams Partners Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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>144A bonds 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>147,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>York Power Funding 144A notes 12s, 2007 (Cayman</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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) (In default) (F)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>203,730</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>22,899</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>8,444,698</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><B><FONT face=sans-serif size=2>Total corporate bonds and notes (cost $116,742,182)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$118,644,039</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><B><FONT face=sans-serif size=2>FOREIGN GOVERNMENT BONDS AND NOTES (18.0%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Argentina (Republic of) FRB 5.59s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$8,133,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$7,673,534</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Austria (Republic of) 144A notes Ser. EMTN, 3.8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,816,635</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Brazil (Federal Republic of) bonds 10 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$1,018,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,289,297</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Brazil (Federal Republic of) bonds 6s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,490,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,473,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Brazil (Federal Republic of) bonds 5.774s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,405,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>746,571</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Brazil (Federal Republic of) notes 11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>7,240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>8,905,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Canada (Government of) bonds Ser. WH31, 6s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,680,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>3,242,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Colombia (Republic of) notes 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$3,697,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,343,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Ecuador (Republic of) regs notes 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>385,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>France (Government of) bonds 4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>4,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>6,257,312</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>France (Government of) bonds Ser. OATe, 3s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>4,329,160</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>6,092,658</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Germany (Federal Republic of) bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>5,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,334,007</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Germany (Federal Republic of) bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>5,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>6,601,299</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ireland (Republic of) bonds 5s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>7,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>10,468,057</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Japan (Government of) bonds Ser. 4, 0 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,511,445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>12,008,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,115,654,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,204,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Russia (Ministry of Finance) debs. Ser. V, 3s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$2,445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,359,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>South Africa (Republic of) notes 7 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,614,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>South Africa (Republic of) notes 6 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,399,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Spain (Government of) bonds 5.4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,397,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Spain (Kingdom of) bonds 5s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,109,541</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>30,690,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>5,312,878</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Turkey (Republic of) notes 11s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$6,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,478,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ukraine (Government of) 144A sr. unsub. 6.58s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,488,273</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>United Mexican States notes 6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>4,530,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,881,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Venezuela (Republic of) notes 10 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>2,150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,666,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>Total foreign government bonds and notes (cost $112,602,927)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$117,550,666</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (3.3%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>U.S. Government Agency Mortgage Obligations (3.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Federal Home Loan Mortgage Corporation Pass-Through</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Certificates</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>6s, with due dates from January 1, 2021 to</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>September 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$1,925,361</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$1,951,297</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Federal National Mortgage Association Pass-Through</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Certificates</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>8s, October 1, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>6,205</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>6,570</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>6 1/2s, June 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>52,848</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>53,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>6 1/2s, October 1, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>17,404</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>17,911</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>6s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>9,102,915</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,231,991</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>5 1/2s, April 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>45,985</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>45,460</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>5 1/2s, with due dates from March 1, 2020 to</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>January 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>960,219</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>960,208</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>5s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>113,739</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>111,793</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>4 1/2s, with due dates from July 1, 2020 to</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>June 1, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>9,749,494</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,332,730</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>21,711,809</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>Total U.S. government and agency mortgage obligations (cost $21,648,516)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$21,711,809</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>U.S. TREASURY OBLIGATIONS (12.2%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>U.S. Treasury Inflation Index Notes 2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>January 15, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$8,453,597</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$8,164,801</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>U.S. Treasury Notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>6 1/2s, February 15, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>7,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,880,859</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>4 1/4s, August 15, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>38,008,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>37,063,737</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>3 1/4s, August 15, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>27,242,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>26,569,463</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>Total U.S. treasury obligations (cost $81,786,372)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$79,678,860</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=sans-serif size=2>COLLATERALIZED MORTGAGE OBLIGATIONS (12.8%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Amresco Commercial Mortgage Funding I 144A Ser. 97-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Class G, 7s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$434,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$433,512</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Banc of America Commercial Mortgage, Inc. Ser. 01-1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Class G, 7.324s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>343,670</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Banc of America Commercial Mortgage, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>163,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>164,454</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>367,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>304,184</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Banc of America Large Loan 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 02-FL2A, Class L1, 8.35s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>141,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>140,714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 02-FL2A, Class K1, 7.85s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>99,862</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 05-MIB1, Class K, 7.35s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>642,026</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 05-ESHA, Class K, 7.15s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>712,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>712,618</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 06-LAQ, Class M, 7s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>548,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>549,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 06-LAQ, Class L, 6.9s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>519,189</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Bear Stearns Commercial Mortgage Securities, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 05-LXR1, Class J, 7s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>696,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>696,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Bear Stearns Commercial Mortgage Securitization Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 00-WF2, Class F, 8.195s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>457,157</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Broadgate Financing PLC sec. FRB Ser. D, 5.893s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>458,375</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>895,078</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Commercial Mortgage Pass-Through Certificates 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 05-F10A, Class A1, 5.45s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$1,463,911</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,463,852</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Countrywide Alternative Loan Trust Ser. 06-OA10,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Class XBI, Interest Only (IO), 2.282s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>6,002,818</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>260,747</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>IFB Ser. 06-6CB, Class 1A3, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>7,257,609</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,742</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>CRESI Finance Limited Partnership 144A FRB Ser. 06-A,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Class C, 5.95s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>250,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>CS First Boston Mortgage Securities Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 05-TFLA, Class L, 7.2s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>699,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>696,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>FRB Ser. 05-TFLA, Class K, 6.65s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>388,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>387,997</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>966,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>959,785</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>322,748</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>Class X, IO, 0.831s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>16,205,790</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>212,068</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=sans-serif size=2>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


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<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">6.04s, 2031</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">286,492</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">291,170</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Class B5, 5.95s, 2031</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">915,958</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">889,936</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">DLJ Mortgage Acceptance Corp. 144A</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 97-CF1, Class B2, 8.16s, 2030</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">275,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">259,875</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 97-CF1, Class B1, 7.91s, 2030</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">266,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">266,575</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">European Loan Conduit FRB Ser. 6X, Class E, 6.931s,</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">2010 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD align=right width=25% nowrap>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">358,417</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">702,976</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">European Loan Conduit 144A</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 6A, Class F, 7.422s, 2010 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD align=right width=25% nowrap>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">128,006</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">251,113</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 22A, Class D, 6.022s, 2014 (Ireland)</FONT>&nbsp;
	</TD>
	<TD align=right width=25% nowrap>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">507,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">992,909</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Class D, 5.608s, 2014 (United Kingdom)</FONT>&nbsp;
	</TD>
	<TD align=right width=25% nowrap>
<FONT size=2 face="sans-serif">GBP</FONT>&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">352,461</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">688,604</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Fannie Mae</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=left width=14% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-70, Class BS, 14.30s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">&#36;299,007</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">353,520</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-62, Class PS, 7.8s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">815,690</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">903,598</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-76, Class QB, 7 1/2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,958,666</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,139,960</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-70, Class SJ, 7 1/2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">135,246</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">148,781</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-W8, Class 3A, 7 1/2s, 2044</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">384,332</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">403,839</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-W2, Class 5A, 7 1/2s, 2044</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,314,798</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,379,078</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">331,988</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">348,419</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W4, Class 4A, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">102,347</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">106,639</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W3, Class 1A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">214,025</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">223,392</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">270,634</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">282,539</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W2, Class 1A3, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">4,644</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">4,848</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-W1, Class 2A, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">414,243</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">430,408</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-14, Class A2, 7 1/2s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,097</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,187</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">265,119</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">275,524</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,266</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,316</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T8, Class A1, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">3,494</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">3,621</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T7, Class A1, 7 1/2s, 2041</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,057,233</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,096,271</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">168,792</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">175,193</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">512,961</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">532,546</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">210,375</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">220,759</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">100,784</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">104,998</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-W7, Class A5, 7 1/2s, 2029</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">181,576</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">189,301</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">481,122</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">505,885</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-W3, Class A5, 7 1/2s, 2028</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,043</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,088</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-63, Class SP, 7.2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,124,858</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,314,381</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-60, Class TK, 7.2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">575,806</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">604,735</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-W12, Class 1A3, 7s, 2044</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">378,620</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">392,794</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 01-T10, Class A1, 7s, 2041</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,034,845</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,064,205</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class CS, 5.308s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">653,642</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">658,880</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class CP, 5.133s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">573,325</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">584,860</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-76, Class SA, 5.133s, 2034</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">812,986</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">815,906</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-8, Class HP, 4.95s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">946,421</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">954,166</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-8, Class WK, 4.95s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,466,284</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,463,546</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-106, Class US, 4.95s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,397,366</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,420,872</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-99, Class SA, 4.95s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">686,047</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">685,616</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-27, Class SP, 4.95s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">791,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">802,340</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-114, Class SP, 4.868s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">400,473</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">385,455</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-60, Class CS, 4.473s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">926,207</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">893,332</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class CP, 4s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">107,031</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">105,732</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class OP, 3.83s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">360,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">335,607</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class QP, 3.484s, 2034</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">223,136</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">208,724</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 02-36, Class QH, IO, 2.7s, 2029</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">112,671</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">689</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-90, Class SE, IO, 2.45s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,447,825</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">214,472</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 03-66, Class SA, IO, 2.3s, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,195,073</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">89,439</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 03-48, Class S, IO, 2.2s, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">544,167</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">40,219</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-113, Class AI, IO, 1.88s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">810,923</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">53,137</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-113, Class DI, IO, 1.88s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">6,714,514</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">377,744</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-60, Class DI, IO, 1.72s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,414,400</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">120,721</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class CI, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,421,299</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">86,907</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-84, Class SG, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,480,021</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">145,135</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-69, Class AS, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">641,897</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">34,101</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 04-92, Class S, IO, 1.35s, 2034</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,995,792</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">101,666</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-104, Class SI, IO, 1.35s, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">3,386,116</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">189,116</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class QI, IO, 1.34s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">370,539</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">24,361</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-92, Class SC, IO, 1.33s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">3,344,072</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">189,589</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-83, Class SL, IO, 1.32s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">4,418,294</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">215,984</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-20, Class IG, IO, 1.3s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">8,647,633</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">349,254</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-45, Class SM, IO, 1 1/4s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,114,198</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">84,230</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-20, Class IB, IO, 1.24s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">3,705,656</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">144,167</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-95, Class OI, IO, 1.24s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">207,492</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">13,735</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-85, Class TS, IO, 1.21s, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,848,205</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">111,938</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W17, Class 12, IO, 1.155s, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,710,189</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">107,594</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 03-112, Class SA, IO, 1.15s, 2028</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,209,715</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">33,587</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W10, Class 1A, IO, 0.978s, 2043</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">3,934,321</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">55,313</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 03-W10, Class 3A, IO, 0.97s, 2043</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">4,670,460</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">75,756</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-67, Class BS, IO, 0.8s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,616,934</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">46,487</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-74, Class SE, IO, 0 3/4s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,222,904</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">58,545</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-87, Class SE, IO, 0.7s, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">9,566,004</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">283,477</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 04-54, Class SW, IO, 0.65s, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">759,348</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">20,159</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-T18, IO, 0.525s, 2042</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">7,498,369</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">94,003</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 06-84, Class OP, Principal Only (PO), zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">105,008</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">101,465</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 372, Class 1, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">579,668</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">464,075</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 371, Class 1, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">483,934</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">409,369</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 05-113, Class DO, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">1,031,964</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">841,133</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 367, Class 1, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">763,869</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">575,497</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 363, Class 1, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">4,205,578</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">3,168,494</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 361, Class 1, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">2,915,044</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,373,909</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-38, Class AO, PO, zero %, 2034</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">360,991</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">260,636</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=50% nowrap>
<FONT size=2 face="sans-serif">Ser. 342, Class 1, PO, zero %, 2033</FONT>&nbsp;
	</TD>
	<TD align=left width=25% nowrap>
&nbsp;
	</TD>
	<TD align=right width=14% nowrap>
<FONT size=2 face="sans-serif">254,474</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">200,510</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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



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<A name="page_7"></A>

<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 02-82, Class TO, PO, zero %, 2032</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">235,500</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">189,688</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-61, Class CO, PO, zero %, 2031</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">517,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">415,781</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">76,987</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">63,117</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 05-117, Class GF, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">318,017</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">297,298</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Federal Home Loan Mortgage Corp. Structured</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Pass-Through Securities</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. T-59, Class 1A3, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">420,701</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">442,819</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. T-58, Class 4A, 7 1/2s, 2043</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">6,812</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">7,123</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. T-41, Class 3A, 7 1/2s, 2032</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,022,757</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,064,895</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. T-60, Class 1A2, 7s, 2044</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,961,817</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,033,165</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. T-57, Class 1AX, IO, 0.005s, 2043</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,515,660</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">29,660</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IO, 1 3/8s, 2020</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">5,795,373</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">319,567</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Freddie Mac</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3153, Class UK, 7.32s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">209,400</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">237,766</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3182, Class PS, 7.2s, 2032</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">226,023</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">245,667</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3081, Class DC, 5.085s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">561,162</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">558,327</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3114, Class GK, 5s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">370,333</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">371,029</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 2979, Class AS, 4.657s, 2034</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">245,740</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">234,067</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3065, Class DC, 3.81s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">843,200</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">784,237</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3050, Class SA, 3 1/2s, 2034</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">608,894</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">559,424</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 2828, Class TI, IO, 1.7s, 2030</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">796,969</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">45,054</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3033, Class SF, IO, 1.45s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,152,529</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">42,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3028, Class ES, IO, 1.4s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">4,063,489</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">273,033</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3042, Class SP, IO, 1.4s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">950,454</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">57,407</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3045, Class DI, IO, 1.38s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">10,358,916</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">433,290</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3054, Class CS, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">919,755</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">39,375</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3107, Class DC, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">4,283,703</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">287,305</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3066, Class SI, IO, 1.35s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,761,863</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">181,078</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3031, Class BI, IO, 1.34s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">767,049</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">52,691</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3067, Class SI, IO, 1.3s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">3,238,006</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">218,111</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3114, Class TS, IO, 1.3s, 2030</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">5,142,357</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">219,245</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3065, Class DI, IO, 1.27s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">604,449</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">38,086</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3174, Class BS, IO, 1.17s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">3,963,672</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">139,608</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3152, Class SY, IO, 1.13s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">3,411,508</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">206,823</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3081, Class DI, IO, 1.13s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">786,867</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">40,336</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3199, Class S, IO, 1.1s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,877,554</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">139,382</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3016, Class SP, IO, 0.76s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">778,816</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">20,935</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 3016, Class SQ, IO, 0.76s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,847,649</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">50,515</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 2815, Class S, IO, 0.65s, 2032</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,791,265</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">46,665</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 239, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,126,390</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">900,350</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 3174, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">148,189</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">125,567</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 236, PO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">708,059</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">566,598</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 3045, Class DO, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">792,147</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">635,031</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 231, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">3,488,166</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,639,351</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 228, PO, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,965,736</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">2,343,237</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 3130, Class KO, PO, zero %, 2034</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">142,877</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">113,570</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 215, PO, zero %, 2031</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">153,439</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">123,160</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 2235, PO, zero %, 2030</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">188,315</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">149,888</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 3022, Class TC, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">131,487</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">138,020</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 2986, Class XT, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">82,321</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">81,961</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 3046, Class WF, zero %, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">170,246</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">164,915</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">FRB Ser. 3054, Class XF, zero %, 2034</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">83,081</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">81,133</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">GE Capital Commercial Mortgage Corp. 144A</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 00-1, Class F, 7.514s, 2033</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">170,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">181,073</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 00-1, Class G, 6.131s, 2033</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">596,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">540,781</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">GMAC Commercial Mortgage Securities, Inc. 144A Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">99-C3, Class G, 6.974s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">529,968</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">533,921</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Government National Mortgage Association</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-66, Class SP, 3s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">515,668</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">469,998</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-68, Class SN, IO, 1.85s, 2034</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,625,540</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">138,655</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-65, Class SI, IO, 1s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,987,273</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">74,827</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-68, Class SI, IO, 0.95s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">6,745,203</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">287,706</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-14, Class S, IO, 0.9s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,000,475</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">68,519</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-51, Class SJ, IO, 0.85s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,989,366</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">79,825</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 05-68, Class S, IO, 0.85s, 2035</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">3,871,983</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">151,226</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 98-2, Class EA, PO, zero %, 2028</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">77,202</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">63,267</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Class L, 8.6s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">214,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">214,803</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Class G, 6.41s, 2031</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">253,101</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">237,234</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Lehman Brothers Floating Rate Commercial Mortgage</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Trust 144A FRB Ser. 03-LLFA, Class L, 9.1s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">876,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">876,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Lehman Mortgage Trust</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-5, Class 2A2, IO, 1.8s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,399,194</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">112,667</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 06-9, Class 2A2, IO, 1.27s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,639,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">127,305</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-7, Class 2A4, IO, 1.2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">4,951,886</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">184,272</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-7, Class 2A5, IO, 1.2s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">4,282,714</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">223,728</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-6, Class 1A2, IO, 1.15s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,984,848</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">78,876</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-6, Class 1A3, IO, 1.15s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,609,668</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">126,493</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-5, Class 1A3, IO, 0.05s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">872,188</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">3,933</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-4, Class 1A3, IO, 0.05s, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,218,848</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">8,498</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-7, Class 1A3, IO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,972,516</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">9,657</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">IFB Ser. 06-6, Class 4A2, IO, zero %, 2036</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">1,909,499</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">3,099</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Mach One Commercial Mortgage Trust 144A</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class J, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">594,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">498,710</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class K, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">212,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">170,502</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Ser. 04-1A, Class L, 5.45s, 2040</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">96,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">71,019</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Merrill Lynch Capital Funding Corp. Ser. 06-4,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Class XC, IO, 0.051s, 2049</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">56,864,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">862,360</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Class JS, IO, 2.329s, 2028</FONT>&nbsp;
	</TD>
	<TD align=right width=33% nowrap>
<FONT size=2 face="sans-serif">2,562,800</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">196,815</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=57% nowrap>
<FONT size=2 face="sans-serif">Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,</FONT>&nbsp;
	</TD>
	<TD align=left width=33% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
</TABLE><BR>

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


<!--$$/page=-->
<A name="page_8"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class X, IO, 7.845s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,016,776</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>348,881</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Morgan Stanley Capital I Ser. 98-CF1, Class E, 7.35s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>2032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,313,387</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Morgan Stanley Capital I 144A Ser. 04-RR, Class F7,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>6s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,261,616</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Mortgage Capital Funding, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 98-MC2, Class E, 7.09s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>327,112</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>334,678</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 97-MC2, Class X, IO, 1.179s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,822,051</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>5,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Permanent Financing PLC FRB Ser. 8, Class 2C, 5 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>499,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class J, 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>120,534</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>302,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>STRIPS 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>162,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>137,333</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>193,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>150,487</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>146,901</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>130,319</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Titan Europe PLC 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 05-CT1A, Class D, 6.222s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>613,466</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,201,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 05-CT2A, Class E, 6.177s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>226,682</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>444,041</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 04-2A, Class D, 4.4s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>350,545</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>463,129</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 04-2A, Class C, 4s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>153,987</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>203,390</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>URSUS EPC 144A FRB Ser. 1-A, Class D, 6.05s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>(Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>350,442</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>686,305</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>05-WL5A, Class L, 8.65s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$477,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>476,332</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><B><FONT face=sans-serif size=2>Total collateralized mortgage obligations (cost $82,575,027)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$83,421,798</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><B><FONT face=sans-serif size=2>ASSET-BACKED SECURITIES (10.4%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%">&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%">&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Americredit Automobile Receivables Trust 144A Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>05-1, Class E, 5.82s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>8,602</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$8,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ameriquest Finance NIM Trust 144A Ser. 04-RN9,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class N2, 10s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>154,625</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>143,801</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Arcap REIT, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>397,494</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>357,574</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Asset Backed Funding Certificates 144A FRB Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>06-OPT3, Class B, 7.82s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>52,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>39,152</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Asset Backed Securities Corp. Home Equity Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>144A FRB Ser. 06-HE2, Class M10, 7.82s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>438,321</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class G1, 6.05s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>279,869</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>281,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Banc of America Alternative Loan Trust IFB Ser. 06-6,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class CB2, IO, zero %, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,140,367</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,170</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Banc of America Funding Corp. IFB Ser. 06-4, Class A4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>IO, 0.15s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,177,176</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,215</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Banc of America Mortgage Securities IFB Ser. 06-2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Class A4, IO, 0.05s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,021,114</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>5,352</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>6.38s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>343,876</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 04-FR3, Class M6, 8.57s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>286,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>283,140</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 06-PC1, Class M9, 7.07s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>152,712</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>Ser. 06-HE2, Class M10, 7.57s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>242,030</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>558,079</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>400,073</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>152,752</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>105,379</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>720,157</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>481,304</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>1,211,954</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>793,640</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 00-A, Class A1, 5.51s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>160,529</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>91,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>598,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>604,937</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>499,824</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 04-AA, Class B4, 10.85s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>180,214</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>186,422</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 04-AA, Class B3, 8.7s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>34,922</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>35,516</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>6.43s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>354,668</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>CHEC NIM Ltd., 144A Ser. 04-2, Class N3, 8s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>10,410</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 05-HE4, Class M11, 7.85s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>304,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>232,195</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 05-HE4, Class M12, 7.37s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>457,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>335,347</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>1,207,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,141,072</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>14,667</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,443</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>3,615,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>3,123,961</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>476,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>402,458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>1,120,803</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>994,043</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>192,433</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>199,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>172,982</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>233,183</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>216,855</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>112,396</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>11,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>268,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>277,881</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><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=right width="14%"><FONT face=sans-serif size=2>93,515</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>93,721</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=2>FRB Ser. 01-4, Class M1, 7.099s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>112,100</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>993,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>972,122</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>3,073,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>2,966,769</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,312,631</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,330,109</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,860</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,859</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>02-1A, Class A, 7.365s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>790,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>792,820</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Countrywide Alternative Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>IFB Ser. 06-26CB, Class A2, IO, 0.45s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,240,571</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>2,093</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>IFB Ser. 06-19CB, Class A2, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>445,338</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,009</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>IFB Ser. 06-14CB, Class A9, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,189,028</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>5,945</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>30,081</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>29,382</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>25,795</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>25,810</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Ser. 06-0A5, Class X, IO, 2.339s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>4,632,876</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>194,002</FONT>&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>5,399,307</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>123,172</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Countrywide Home Loans 144A IFB Ser. 05-R1, Class 1AS,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>IO, 0.808s, 2035 (SN)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>4,445,354</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>135,942</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>429,923</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>283,893</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>7.807s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,220,766</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,239,841</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>FRB Ser. 04-FF7, Class A4, 5.65s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,144,099</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,144,227</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>41,578</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>6,661</FONT>&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,536</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>8.22s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>687,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>682,194</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>FRB Ser. 03-2, Class 3C, 6.69s, 2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,075,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>2,154,754</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>FRB Ser. 02-1, Class 1C, 6.674s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$365,679</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>366,381</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="23%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,940,431</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$870,032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>818,692</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>328,115</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>239,960</FONT>&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>629,309</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>600,218</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>4,540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>4,460,550</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>387,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>388,141</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>362,579</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>362,720</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>371,800</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>382,167</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>909,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>867,531</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>733,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>725,703</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>16,956</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>17,062</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,700,441</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,572,629</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>75,721</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>76,946</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>365,777</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>361,951</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>FRB Ser. 05-2A, Class E, 7.35s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>379,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>381,122</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>FRB Ser. 05-1A, Class E, 7.15s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>303,653</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>303,653</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>2035 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>270,368</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>263,837</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Holmes Financing PLC FRB Ser. 8, Class 2C, 6.094s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>2040 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>235,042</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, 8.1s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,261,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Long Beach Mortgage Loan Trust FRB Ser. 06-2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Class M10, 7.85s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>286,101</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Class B, 7.85s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>260,661</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>5.94s, 2039 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,762,560</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>02-A, Class B1, 8.6s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>$1,046,356</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>816,158</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 Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>5,051</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>4,985</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Class C5, 6.53s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>354,927</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>10,052</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>9,901</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>131,351</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>130,001</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Class B3, 8.55s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>214,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>215,575</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>101,224</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>100,058</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Morgan Stanley Mortgage Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Ser. 05-5AR, Class 2A1, 5.396s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,640,719</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,637,644</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>IFB Ser. 06-7, Class 4A3, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,043,703</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>3,367</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>209,713</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>205,031</FONT>&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>91,380</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>89,277</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="23%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,071,343</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>946,240</FONT>&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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>160,541</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>124,989</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>364,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>240,204</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,022,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>666,512</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>437,153</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>390,175</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>1,168,273</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,025,985</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="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>777,981</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>613,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="51%"><FONT face=sans-serif size=2>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=2>988,514</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>873,679</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,007,326</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>519,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,417,045</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,229,962</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>158,487</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>111,168</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 01-E, Class A2, 5.05s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,148,518</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>901,237</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>312,597</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>240,935</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class A4, 7.21s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>225,337</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>201,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ocean Star PLC 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 04-A, Class E, 11.876s, 2018 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>885,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>917,745</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 05-A, Class E, 9.976s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>242,617</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Option One Mortgage Loan Trust FRB Ser. 05-4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class M11, 7.85s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>437,129</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Park Place Securities, Inc. FRB Ser. 04-MCW1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class A2, 5.7s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,039,275</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,039,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>People's Choice Net Interest Margin Note 144A Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>04-2, Class B, 5s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>11,355</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>11,164</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Permanent Financing PLC</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 3, Class 3C, 6 1/2s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>353,366</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 6, Class 3C, 5.954s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>887,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,742,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Residential Asset Securities Corp. Ser. 01-KS3,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class AII, 5.55s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$2,436,002</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,436,635</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Residential Asset Securities Corp. 144A FRB Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>05-KS10, Class B, 8.07s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>354,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Residential Asset Securitization Trust IFB Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>06-A7CB, Class 1A6, IO, 0.2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>458,955</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>5,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Residential Mortgage Securities 144A FRB Ser. 20A,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class B1A, 5.961s, 2038 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>292,174</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$33,660</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>33,786</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>SAIL Net Interest Margin Notes 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>17,341</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>3,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>75,194</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,782</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>49,754</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>12,638</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,264</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>7,301</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>292</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>10,294</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>206</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,426</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>274</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>20,842</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Sasco Net Interest Margin Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 05-WF1A, Class A, 4 3/4s, 2035 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>6,942</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>6,924</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>273,210</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>32,020</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Sharps SP I, LLC Net Interest Margin Trust 144A Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>04-HS1N, Class Note, 5.92s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,759</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class M10, 7.85%, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>392,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>356,030</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>South Coast Funding 144A FRB Ser. 3A, Class A2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>6.574s, 2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>140,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Structured Asset Investment Loan Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 06-BNC2, Class B1, 7.85s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>293,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>256,136</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRB Ser. 05-HE3, Class M11, 7.85s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>436,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>327,383</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Structured Asset Receivables Trust 144A FRB Ser. 05-1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>5.874s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,784,994</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,782,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>467,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>478,056</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>6.84s, 2037 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>392,376</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Wells Fargo Mortgage Backed Securities Trust Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>05-AR13, Class 1A4, IO, 0.742s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>14,313,403</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>208,694</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Class B3, 6.277s, 2044 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>683,414</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>683,387</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Whole Auto Loan Trust 144A Ser. 04-1, Class D, 5.6s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>83,700</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>83,396</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><B><FONT face=sans-serif size=2>Total asset-backed securities (cost $67,845,024)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$68,327,391</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><B><FONT face=sans-serif size=2>SENIOR LOANS (6.2%)(a)(c)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%">&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%">&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><B><FONT face=sans-serif size=2>Basic Materials (0.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Georgia-Pacific Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>7.357s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$843,625</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$847,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Georgia-Pacific Corp. bank term loan FRN Ser. B2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>7.12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>301,333</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Hexion Specialty Chemicals, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>7.87s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>249,583</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Innophos, Inc. bank term loan FRN 7.6s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>213,876</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>214,410</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Lyondell Chemical Co. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>7.121s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>99,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>100,140</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Momentive Performance Materials Corp. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>FRN 7.62s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>200,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Nalco Co. bank term loan FRN Ser. B, 7.265s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,078,404</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,081,835</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Novelis, Inc. bank term loan FRN 7.62s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>334,114</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>334,531</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Novelis, Inc. bank term loan FRN Ser. B, 7.62s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>580,599</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>581,324</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Rockwood Specialties Group, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ser. E, 7.376s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,380,980</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,386,676</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%">&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>5,297,456</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><B><FONT face=sans-serif size=2>Capital Goods (0.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Graham Packaging Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>7.72s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>393,970</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>396,080</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Hexcel Corp. bank term loan FRN Ser. B, 7 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>544,641</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>544,641</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Mueller Group, Inc. bank term loan FRN 7.373s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>411,200</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>413,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Polypore, Inc. bank term loan FRN 8.35s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>709,591</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>713,139</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<!--$$/page=-->
<A name="page_11"></A>

<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Terex Corp. bank term loan FRN Ser. D, 7.114s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">49,750</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">49,812</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Transdigm, Inc. bank term loan FRN 7.366s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">250,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">251,500</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">2,368,300</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Communication Services (0.7%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Consolidated Communications Holdings, Inc. bank term</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">loan FRN Ser. D, 7.366s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">124,255</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">124,177</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Fairpoint Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">B, 7 1/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">543,116</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">542,437</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Idearc, Inc. bank term loan FRN Ser. B, 7.35s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">600,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">603,000</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Intelsat, Ltd. bank term loan FRN Ser. B, 7.622s, 2013</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Bermuda)</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">600,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">604,050</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Level 3 Communications, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8.366s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">182,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">183,877</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Madison River Capital, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.62s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">788,838</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">789,824</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Metropcs Wireless, Inc. bank term loan FRN 7 7/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">249,375</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">250,206</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">PanAmSat Corp. bank term loan FRN Ser. B, 7.872s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">600,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">605,584</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Syniverse Holdings, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.12s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">427,826</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">429,430</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Time Warner Telecom, Inc. bank term loan FRN 7.57s,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">181,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">182,222</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Windstream Corp. bank term loan FRN Ser. B, 7.12s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">288,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">289,575</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">4,604,382</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Consumer Cyclicals (1.3%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CCM Merger, Inc. bank term loan FRN Ser. B, 7.364s,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">985,005</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">983,281</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Coinmach Service Corp. bank term loan FRN Ser. B-1,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">249,243</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">251,269</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">257,586</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">257,827</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. C,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">605,875</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">606,443</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Dex Media West, LLC bank term loan FRN Ser. B1,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6.914s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">484,627</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">483,416</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Dex Media West, LLC/Dex Media Finance Co. bank term</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">loan FRN Ser. B, 6.868s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">128,551</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">128,040</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Goodman Global Holdings, Inc. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">C, 7 1/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">707,868</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">706,688</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Landsource, Inc. bank term loan FRN Ser. B, 7 7/8s,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">49,438</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Michaels Stores, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8 3/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">311,458</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">313,210</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Neiman Marcus Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.602s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">149,684</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">150,654</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Oriental Trading Co. bank term loan FRN 8.172s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">149,625</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">149,999</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Penn National Gaming, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.132s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">197,500</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">198,339</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">PRIMEDIA, Inc. bank term loan FRN Ser. B, 7.6s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">148,500</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">147,943</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">R.H. Donnelley Finance Corp. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6.865s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">686,023</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">683,546</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">R.H. Donnelley, Inc. bank term loan FRN Ser. D1,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6.868s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">379,106</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">377,986</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Standard-Pacific Corp. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6.873s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">98,250</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Sun Media Corp. bank term loan FRN Ser. B, 7.126s,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2009 (Canada)</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">138,003</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">138,060</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">5.62s, 2012 (U)</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">174,125</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">175,159</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Ser. B-1, 7 7/8s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">172,813</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">173,839</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">TRW Automotive, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.188s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">516,273</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">514,579</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">TRW Automotive, Inc. bank term loan FRN Ser. B2,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">6 7/8s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">119,100</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">118,802</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Venetian Casino Resort, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.12s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">664,302</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">666,442</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Venetian Casino Resort, LLC bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">DD, 7.12s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">136,969</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">137,411</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Visant Holding Corp. bank term loan FRN Ser. C,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.372s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">823,563</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">826,652</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">William Carter Holdings Co. (The) bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Ser. B, 6.87s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">69,006</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">68,834</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">8,406,107</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Consumer Staples (1.8%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Affiliated Computer Services, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Ser. B2, 7.36s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">49,813</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">49,931</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Affinion Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8.122s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">798,477</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">801,222</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Affinity Group Holdings bank term loan FRN Ser. B2,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.85s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">116,223</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">116,368</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Burlington Coat Factory Warehouse Corp. bank term loan</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">FRN Ser. B, 7.62s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">343,875</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">339,099</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Cablevision Systems Corp. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.123s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">1,094,500</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,094,591</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CBRL Group, Inc. bank term loan FRN Ser. B, 7.129s,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">13,623</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">13,599</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Cebridge Connections, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=32% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.62s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">350,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">350,164</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Century Cable Holdings bank term loan FRN 10 1/4s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=32% nowrap>
<FONT size=2 face="sans-serif">900,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">875,571</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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



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

<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Charter Communications bank term loan FRN 8.005s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,028,831</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,034,972</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Insight Midwest bank term loan FRN 7.61s, 2014</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">68,075</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">68,488</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Jean Coutu Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.938s, 2011 (Canada)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">118,131</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">118,247</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">C, 7.172s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">987,500</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">985,208</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">DD, 7.12s, 2015</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">120,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">119,350</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">MGM Studios, Inc. bank term loan FRN Ser. B, 8.614s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">893,250</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">884,158</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Olympus Cable Holdings, LLC bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">10 1/4s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">500,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">486,719</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Pinnacle Foods Holding Corp. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.369s, 2010</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">560,340</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">561,321</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Regal Cinemas, Inc. bank term loan FRN Ser. B, 7.117s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2010</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">537,587</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">535,860</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Reynolds American, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.14s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">248,750</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">250,305</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Six Flags, Inc. bank term loan FRN Ser. B, 8.62s, 2009</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">426,592</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">430,791</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Spanish Broadcasting Systems, Inc. bank term loan FRN</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.12s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">443,233</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">442,310</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Spectrum Brands, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">8.616s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">739,297</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">741,277</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">United Rentals, Inc. bank term loan FRN 7.32s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">134,837</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">135,370</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">United Rentals, Inc. bank term loan FRN Ser. B, 7.47s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">51,579</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">51,783</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Universal City Development bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.38s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">969,872</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">972,296</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Warner Music Group bank term loan FRN Ser. B, 7.373s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">153,971</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">154,413</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Young Broadcasting, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.937s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">267,257</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">266,505</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">11,879,918</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Energy (0.4%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN 7.198s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">60,606</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">60,549</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN 7.141s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">63,318</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">63,190</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN Ser. B, 7.15s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">331,742</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">331,069</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">CR Gas Storage bank term loan FRN Ser. DD, 7.108s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">42,424</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">42,384</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Key Energy Services, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.855s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">891,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">893,784</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Meg Energy Corp. bank term loan FRN 7 3/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">99,250</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">99,390</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Meg Energy Corp. bank term loan FRN Ser. DD, 6s, 2013</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">(Canada) (U)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">100,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">98,786</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Petroleum Geo-Services ASA bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.61s, 2012 (Norway)</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">28,662</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">28,805</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Targa Resources, Inc. bank term loan FRN 7.624s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">633,115</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">635,390</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Targa Resources, Inc. bank term loan FRN 5.239s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">153,871</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">154,424</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">2,407,771</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Financial (0.1%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Fidelity National Information Solutions, Inc. bank</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">term loan FRN Ser. B, 7.1s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">607,947</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">607,863</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Health Care (0.3%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">AmeriPath, Inc. bank term loan FRN Ser. B, 7.36s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">46,882</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">46,847</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">DaVita, Inc. bank term loan FRN Ser. B, 7.422s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">478,360</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">480,667</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Healthsouth Corp. bank term loan FRN Ser. B, 8.62s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">1,194,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">1,201,131</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">LifePoint, Inc. bank term loan FRN Ser. B, 6.975s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">466,734</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">464,634</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">United Surgical Partners International, Inc. bank term</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">loan FRN 7.145s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">52,735</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">52,867</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">2,246,146</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Technology (0.2%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Aspect Software, Inc. bank term loan FRN 8 3/8s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">50,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">49,958</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">JDA Software Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.831s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">40,000</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">40,150</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">SunGard Data Systems, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7 7/8s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">788,439</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">795,430</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Travelport bank term loan FRN 8.364s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">6,335</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">6,347</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Travelport bank term loan FRN Ser. B, 8.364s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">64,504</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">64,625</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">UGS Corp. bank term loan FRN Ser. C, 7.126s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">408,276</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">407,766</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">1,364,276</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Transportation (0.1%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Travelcenters of America, Inc. bank term loan FRN Ser.</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">B, 7.106s, 2011</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">335,029</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">334,610</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">United Airlines bank term loan FRN Ser. B, 9.12s, 2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">304,719</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">306,732</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">United Airlines bank term loan FRN Ser. DD, 9 1/8s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2012</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">43,531</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">43,819</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">685,161</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 align=left width=58% nowrap>
<B><FONT size=2 face="sans-serif">Utilities &amp; Power (0.1%)</FONT></B>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">Mirant North America, LLC. bank term loan FRN Ser. B,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">7.1s, 2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">76,613</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">76,449</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">NRG Energy, Inc. bank term loan FRN Ser. B, 7.367s,</FONT>&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=left width=9% nowrap>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
<FONT size=2 face="sans-serif">2013</FONT>&nbsp;
	</TD>
	<TD align=right width=31% nowrap>
<FONT size=2 face="sans-serif">614,667</FONT>&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<FONT size=2 face="sans-serif">617,740</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=58% nowrap>
&nbsp;
	</TD>
	<TD align=left width=31% nowrap>
&nbsp;
	</TD>
	<TD align=right width=9% nowrap>
<B><FONT size=2 face="sans-serif">694,189</FONT></B>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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


<!--$$/page=-->
<A name="page_13"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total senior loans (cost $40,621,845)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$40,561,569</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>UNITS (0.4%)(a) (cost $1,180,933)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Units</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>XCL, Ltd. Equity Units zero % (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>991</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$2,504,301</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>PREFERRED STOCKS (0.1%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Ion Media Networks, Inc. 14.25% cum. pfd. (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>11</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$81,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Rural Cellular Corp. Ser. B, 11.375% cum. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>426</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>532,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total preferred stocks (cost $444,567)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$613,900</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>COMMON STOCKS (0.1%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Contifinancial Corp. Liquidating Trust (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>3,445,121</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$345</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Knology, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>199</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,117</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Owens Corning, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>10,726</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>320,707</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Sterling Chemicals, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>110</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,403</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>USA Mobility, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>268</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>VFB LLC (acquired 10/27/00, cost $594,553)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>(F)(RES)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>948,004</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>19,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>WHX Corp. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>18,832</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>159,130</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total common stocks (cost $2,727,900)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$503,580</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>CONVERTIBLE PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>2,441</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$100,996</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Ion Media Networks, Inc. 144A 9.75% cv. pfd. PIK</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>18</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>77,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total convertible preferred stocks (cost $284,218)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$178,396</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>PURCHASED OPTIONS OUTSTANDING (0.5%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="44%" background=""></TD>
     <TD noWrap align=left width="20%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>date/strike price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>for the right to pay a fixed rate swap of 4.148%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>versus the six month EUR-EURIBOR-Telerate maturing</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>October 10, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Oct-11 /4.148</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>$34,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$975,410</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>London for the right to pay a fixed rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>of 4.1925% versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>maturing October 13, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Oct-11 / 4.1925</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>34,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>913,301</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>London for the right to receive a fixed rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>of 4.1925% versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>maturing October 13, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Oct-11 / 4.1925</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>655,236</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>for the right to receive a fixed rate swap of 4.148%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>versus the six month EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>October 10, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Oct-11 /4.148</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>603,816</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total purchased options outstanding (cost $3,090,860)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$3,147,763</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>WARRANTS (--%)(a)(NON)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Expiration date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Strike Price</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Warrants</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Dayton Superior Corp. 144A (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>$0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>1,020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$10</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>MDP Acquisitions PLC 144A (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><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 0.001</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>508</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,224</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Ubiquitel, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><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=right width="13%"><FONT face=sans-serif size=2>1,670</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>17</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total warrants (cost $116,394)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$14,251</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>SHORT-TERM INVESTMENTS (15.8%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>amount/shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>Putnam Prime Money Market Fund (e)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>100,830,215</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$100,830,215</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>U.S. Treasury Bills for an effective yield of 4.92%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><FONT face=sans-serif size=2>maturity date in March 29, 2007 (SEG)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=2>$2,299,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,271,987</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total short-term investments (cost $103,102,202)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$103,102,202</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>TOTAL INVESTMENTS</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="44%"><B><FONT face=sans-serif size=2>Total investments (cost $634,768,967) (b)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$639,960,525</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_14"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="99%" colSpan=8><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO BUY at 12/31/06 (aggregate face value $79,728,803) (Unaudited)</FONT></B>&nbsp; &nbsp; &nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>$28,467,184</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>$27,628,923</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>1/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>$838,261</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>4,916,337</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>4,918,573</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(2,236)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,207,481</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>3,332,230</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>1/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(124,749)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Danish Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,246,346</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>1,254,738</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(8,392)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Euro Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>9,088,423</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>10,718,487</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(1,630,064)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,582,737</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>1,641,797</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2/21/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(59,060)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Malaysian Ringgit</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,756,140</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>1,698,433</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2/21/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>57,707</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Mexican Peso</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,679,209</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>1,658,109</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>1/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>21,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>13,122,112</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>13,272,800</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(150,688)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>South Korean Won</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,672,406</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>3,622,403</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2/21/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>50,003</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>3,348,885</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>3,377,058</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(28,173)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>2,193,801</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>2,237,934</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(44,133)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Czech Koruna</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>1,924,881</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>1,897,901</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>26,980</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Polish Zloty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=2>2,441,721</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>2,469,417</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(27,696)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="11%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>$(1,081,140)</FONT>&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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="99%" colSpan=8><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO SELL at 12/31/06 (aggregate face value $133,193,419) (Unaudited)</FONT></B>&nbsp; &nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%">&nbsp; </TD>
     <TD noWrap align=left width="17%" background=""></TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%">&nbsp; </TD>
     <TD noWrap align=left width="17%" background=""></TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%">&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>$3,402,388</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>$3,378,883</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>01/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>$(23,505)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>11,778,571</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>11,861,691</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>83,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>10,238,590</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>10,509,522</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>01/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>270,932</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Euro Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>45,072,289</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>46,984,870</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,912,581</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Hong Kong Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>1,660,597</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>1,661,730</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>05/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,133</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Hungarian Forint</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>709,883</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>697,060</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>(12,823)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>35,877,302</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>34,692,455</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>02/21/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>(1,184,847)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>4,012,622</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>5,776,469</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,763,847</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>South African Rand</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>560,851</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>530,975</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>01/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>(29,876)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>7,158,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>7,161,193</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,293</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%" background=""></TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=2>9,891,442</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>9,938,571</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>03/22/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>47,129</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="17%" background=""></TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>$2,829,984</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_16"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><B><FONT face=sans-serif size=2>FUTURES CONTRACTS OUTSTANDING at 12/31/06 (Unaudited)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Number of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>contracts</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Euro-Dollar 90-day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>846</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>$201,030,750</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Dec-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>$415,924</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Euro-Dollar 90-day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>794</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>187,939,800</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(333,397)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>850</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>94,801,563</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(1,961,988)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>U.S. Treasury Note 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>859</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>92,471,590</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>955,397</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>856</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>89,933,500</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>729,703</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Japanese Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>35</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>39,416,534</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(72,287)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>U.S. Treasury Note 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>151</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>30,808,719</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>115,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Euro-Bund 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>179</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>27,407,261</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(417,051)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Euro-Bobl 5 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>80</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>11,487,910</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(123,000)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Euro-Schatz 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>52</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>7,099,686</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>13,788</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>U.K. Gilt 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>1,905,856</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(30,253)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><FONT face=sans-serif size=2>Canadian Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>11</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>1,075,064</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(14,456)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="39%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>$(722,295)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_17"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="100%" colSpan=7><B><FONT face=sans-serif size=2>WRITTEN OPTIONS OUTSTANDING at 12/31/06 (premiums received $245,817) (Unaudited)</FONT></B>&nbsp; &nbsp; &nbsp; &nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="45%" background=""></TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=left width="12%" background=""></TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="6%" background=""></TD>
     <TD noWrap align=left width="6%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="45%">&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=left width="6%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="6%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="45%">&nbsp; </TD>
     <TD noWrap align=right width="11%" background=""></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right width="6%" background=""></TD>
     <TD noWrap align=right width="6%"><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="45%"><FONT face=sans-serif size=2>Option on an interest rate swap with Citibank for the obligation to pay a fixed</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="12%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="6%" background=""></TD>
     <TD noWrap align=left width="6%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="45%"><FONT face=sans-serif size=2>rate of 1.165% versus thesix-month JPY-LIBOR maturing on April 3, 2008.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>13,104,267,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Mar-07 / 1.165</FONT>&nbsp; </TD>
     <TD noWrap align=right width="6%" background=""></TD>
     <TD noWrap align=right width="6%"><FONT face=sans-serif size=2>337,598</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_18"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%" colSpan=4><B><FONT face=sans-serif size=2>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/06 (Unaudited)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>made by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>Notional amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Bank of America, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$10,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>9/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.53%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>$(331,036)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>3/30/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3.075%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>603,601</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>4,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>1/27/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.35%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>163,960</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Citibank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>24,650,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/27/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.504%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(562,636)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,200,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>4/22/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>1.9225%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(276,953)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>5,372,749,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>4/3/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>1.165%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>138,122</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>380,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>4/21/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month&nbsp;</FONT><FONT face=Arial size=2>JPY-LIBOR-BBA</FONT></TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>2.775%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>240,676</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>31,963,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/4/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month <FONT face=Arial size=2>AUD-BBR-BBSW</FONT>&nbsp;</FONT> </TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>6.315%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(133,250)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,300,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>2/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month&nbsp;</FONT><FONT face=Arial size=2>JPY-LIBOR-BBA</FONT></TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>1.755%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>58,745</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$22,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>5/23/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.923%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(145,197)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>34,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>5/23/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3.422%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>U.S. Bond Market</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Association Municipal Swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>169,534</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>42,130,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>9/29/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.078%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(414,986)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,134,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>9/11/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>1.8675%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(105,524)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>39,143,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/22/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month <FONT face=Arial size=2>CAD-BA-CDOR</FONT>&nbsp;</FONT> </TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>4.3535%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>422,470</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,329,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/22/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.6535%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(229,034)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>13,670,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/4/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.497%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(229,179)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Credit Suisse First Boston International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$5,699,500</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/9/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.945%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>4,457</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Credit Suisse International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,568,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/17/21</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month <FONT face=Arial size=2>EUR-EURIBOR-</FONT>&nbsp;&nbsp;</FONT> </TD>
     <TD noWrap align=left width="20%" background="">&nbsp;</TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.445%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>87,071</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>9,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/17/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.146%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(61,198)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>11,985,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/17/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month&nbsp;<FONT face=Arial size=2>EUR-EURIBOR-</FONT>&nbsp;</FONT> </TD>
     <TD noWrap align=left width="20%" background=""></TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3.896%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(44,390)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,480,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>4/3/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>GBP 3,728,462 at maturity&nbsp; &nbsp;</FONT></TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>6 month GBP-LIBOR-BBA</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>42,726</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Deutsche Bank AG</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>12,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>7/6/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month <FONT face=Arial size=2>ZAR-JIBAR-SAFEX</FONT>&nbsp;</FONT> </TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>9.16%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>38,527</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Goldman Sachs International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$1,345,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>9/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Ford Credit Auto Owner </FONT></TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>678 bp (1 month</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Trust Series 2005-B Class D&nbsp;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%" background=""><FONT face=Arial size=2>USD-LIBOR-BBA)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(2,016)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$25,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>9/2/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.4505%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(977,298)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.5195%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>668,126</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>31,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/4/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.40%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>503,807</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>70,918,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>5/4/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.37%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>77,566</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>22,964,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>5/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.62375%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(771,393)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,460,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>6/6/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>1.83%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(1,225,850)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$30,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>6/17/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.5505%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(1,242,044)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>134,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>6/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>4.0825%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>883,295</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>11,050,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>11/8/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.036%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(16,694)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>17,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>11/8/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3.488%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>U.S. Bond Market</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Association Municipal Swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>18,989</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,780,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.09%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>51,654</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>12,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.054%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>65,358</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>8,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>3/6/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.176%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>109,190</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Lehman Brothers International (Europe)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>2,218,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/3/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.5675%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(96,412)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>10,091,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>8/3/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>5.445%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>277,948</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>24,900,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>11/13/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3.983%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>503,803</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,530,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>10/5/21</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month EUR-EURIBOR-</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%" background="">&nbsp;</TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>4.093%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(163,274)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>28,370,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>10/5/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3.8975%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>6 month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>465,276</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>34,240,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=2>10/5/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month EUR-EURIBOR-</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%" background="">&nbsp;</TD>
     <TD noWrap align=right width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>3.825%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>(302,616)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=sans-serif size=2>Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="3%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>$79,881,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>8/3/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>5.425%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,308,606</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>1,365,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>3/15/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>GBP 3,304,437 at maturity&nbsp;&nbsp; &nbsp;</FONT></TD>
     <TD noWrap align=left width="16%" background=""><FONT face=Arial size=2>6 month GBP-LIBOR-BBA</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>123,026</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><B><FONT face=sans-serif size=2>Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>1,272,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>10/31/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>1.90%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>(120,073)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>9,329,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>10/25/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>4.65%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>(129,385)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>39,143,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>10/25/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>3 month CAD-BA-CDOR&nbsp;</FONT> </TD>
     <TD noWrap align=left width="16%" background=""><FONT face=Arial size=2>4.35%</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>90,811</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>350,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>10/18/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA&nbsp;</FONT> </TD>
     <TD noWrap align=left width="16%" background=""><FONT face=Arial size=2>2.655%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>143,515</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>753,200,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>10/18/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>1.9475%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>(103,067)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><FONT face=sans-serif size=2>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=2>27,167,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=2>8/2/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>4.464%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%"><FONT face=sans-serif size=2>3 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>(433,536)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="19%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="9%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><B><FONT face=sans-serif size=2>$(856,182)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=2>(E) See Interest rate swap contracts note regarding extended effective dates.</FONT></I></B></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_20"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%" colSpan=4><B><FONT face=sans-serif size=2>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/06 (Unaudited)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Total return</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><FONT face=sans-serif size=2>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>Termination</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>received (paid) by&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><FONT face=sans-serif size=2>Notional amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>or paid by fund</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><B><FONT face=sans-serif size=2>Credit Suisse International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><B><FONT face=sans-serif size=2>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$1,480,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>4/3/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>GBP 2,242,757 at</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>$15,469</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>maturity</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>Goldman Sachs International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>10/31/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2.12%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Eurostat</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>(7,355)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Eurozone HICP</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>10/31/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(1.935)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>French Consumer</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>60,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Price Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>15,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>7/21/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(2.295%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>(241,633)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>15,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>7/21/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2.2325%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>367,761</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>4/26/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>2.11%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>French Non-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>294,185</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>revised Consumer</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Price Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>4/26/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(2.115%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>(33,431)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>1,365,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>3/15/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>GBP 2,065,993 at</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=2>23,792</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>maturity</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="26%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%">&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="26%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><B><FONT face=sans-serif size=2>$478,963</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_21"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%" colSpan=3><B><FONT face=sans-serif size=2>CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/06 (Unaudited)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>premium</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background="">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>received (paid) by&nbsp; </FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><B><FONT face=sans-serif size=2>Bank of America, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 3</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>$24,008</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>$950,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>$77,207</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>47,895</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,805,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>149,354</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>18,006</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>4,750,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(248,991)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(12,004)</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,375,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(145,503)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Corp. 7 5/8%, 6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>590,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(111 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(6,844)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Corp. 7 5/8%, 6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(101 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(2,152)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><B><FONT face=sans-serif size=2>CreditSuisse First Boston International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(487.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(41,601)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>145,990</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(485 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(8,861)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Republic of Argentina,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>8.28%, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,175,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>7/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(214 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(44,384)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Ukraine Government,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7.65%, 6/11/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>10/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>194 bps</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>23,995</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><B><FONT face=sans-serif size=2>Deutsche Bank AG</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>36</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,308,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(3,596)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,308,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>55 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>9,618</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>6 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>7,200</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,318,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(40 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(7,460)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>6 Version 1, 6-9%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,318,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>43 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>17,552</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Republic of Indonesia,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>6.75%, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>292 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>45,955</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><B><FONT face=sans-serif size=2>Goldman Sachs International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Any one of the</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>underlying securities</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>in the basket of BB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>CMBS securities</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>3,768,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>(a)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>2.461%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>341,047</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,044</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>855,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>62,104</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,645</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,375,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(118,854)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(241,095)</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>13,632,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(395 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(1,111,317)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 6</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>935</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,181,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(8,272)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 6</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,181,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>55 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>19,964</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>151</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(5,897)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>2,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>56 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>17,308</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>107,263</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(427.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(33,663)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(425 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(7,157)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>22,937</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Smurfit Kappa Funding,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>10 1/8%, 10/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>440,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(70 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(788)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Smurfit Kappa Funding,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>10 1/8%, 10/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>440,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>12/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>375 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>19,128</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Ray Acquisition SCA,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=center width="5%">&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>9 3/8%, 3/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=center width="5%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>(187 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=2>(15,407)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ray Acquisition SCA,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>9 3/8%, 3/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>399 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>63,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>$235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(3,132)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>550 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>10,330</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(350 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(3,555)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>13,270</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>United Rentals N.A.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>61/2%, 2/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>233,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(95 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>732</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>24,968</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>4,750,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(242,029)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>23,767</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>855,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>71,827</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,246</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(4,585)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>54.37 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>14,661</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>9,890</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(16,872)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index 6-9% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>53.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>31,181</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>6 Version 1, 6-9%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,783,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>45.25 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>25,223</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>6 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>6,867</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,783,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(40 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(10,735)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Republic of Peru,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>$1,185,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>10/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>215 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>66,956</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>685,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(10,111)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>685,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>570 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>31,771</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(335 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(16,432)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>48,815</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Corp. 7 5/8%, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(111 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(11,136)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Corp. 7 5/8%, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>585,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(92 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(3,244)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Supervalu, Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/2%, 05/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,775,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(150 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(14,923)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>Merrill Lynch International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>27,289</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,045,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>86,028</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>1,344</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,264,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(4,942)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index, 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>2,264,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>53 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>13,961</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>8,793</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(17,969)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Index 6-9% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>57 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>35,855</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Dominican Republic,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>8 5/8%, 4/20/27</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>$1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>11/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(170 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(8,662)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(3,892)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>560 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>13,223</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>(335 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>(4,022)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=2>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=2>12,983</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%"><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="7%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=center width="11%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=sans-serif size=2>$(586,870)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


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<A name="page_23"></A>

<P align="left">
<B><I><FONT size=2 face="sans-serif">* Payments related to the reference debt are made upon a credit default event.</FONT></I></B></P>
<P align="left">
<B><I><FONT size=2 face="sans-serif">** 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><I><FONT size=2 face="sans-serif">(a) 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 noshade align="center"width="100%"size=2>


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<A name="page_24"></A>
<P align=left><FONT face=sans-serif size=1>NOTES</FONT></P>
<P align=left><FONT face=sans-serif size=1>(a) Percentages indicated are based on net assets of $654,134,312</FONT><FONT face=sans-serif size=1>.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(b) The aggregate identified cost on a tax basis is $635,376,553, resulting in gross unrealized appreciation and depreciation of $15,995,558 and $11,411,586, respectively, or net unrealized appreciation of $4,583,972.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(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=1>(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at December 31, 2006 was $724,600 or less than 0.1% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(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=1>(SEG) This security was pledged and segregated with the custodian to cover margin requirements for futures contracts, forward commitments and written options at December 31, 2006.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rate shown for senior loans are the current interest rates at December 31, 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 i
nvests 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=1>(e) 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. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. </FONT><FONT face=sans-serif size=1>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 $1,670,284 for the period ended December 31, 2006. During the period ended December 31, 2006, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $27,643,459 and $77,264,440, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(F) Security is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(SN) The securities noted above were purchased during the period for an aggregate cost of $183,198. During the period, questions arose regarding a potential misidentification of the characteristics of these securities. As a result of initial inquiries into the matter, the values of these securities were adjusted. As of December 31, 2006, the aggregate values of these securities totaled $135,942. 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=1>(U) A portion of the position represents unfunded loan commitments. As of December 31, 2006, the fund had unfunded loan commitments of $273,688, 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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%"><B><FONT face=sans-serif size=1>Borrower</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="51%"><B><FONT face=sans-serif size=1>Unfunded 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="48%"><FONT face=sans-serif size=1>MEG Energy Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="51%"><FONT face=sans-serif size=1>$100,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%"><FONT face=sans-serif size=1>Trump Hotel &amp; Casino</FONT>&nbsp; </TD>
     <TD noWrap align=right width="51%"><FONT face=sans-serif size=1>173,688</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%"><B><FONT face=sans-serif size=1>Totals</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="51%"><FONT face=sans-serif size=1>$273,688</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=1>At December 31, 2006, liquid assets totaling $133,376,384 have been designated as collateral for open forward commitments and swap contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=1>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. 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=1>The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at December 31, 2006.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at December 31, 2006.</FONT></P>
<P align=left><FONT face=sans-serif size=1>DIVERSIFICATION BY COUNTRY</FONT></P>
<P align=left><FONT face=sans-serif size=1>Distribution of investments by country of issue at December 31, 2006: (as a percentage of Portfolio Value)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Argentina</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.2%</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Brazil</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.9</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Canada</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.1</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Cayman Islands</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.1</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Colombia</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>0.7</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>France</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>2.0</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Germany</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>3.7</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Ireland</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>2.6</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Japan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>3.3</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Luxembourg</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.0</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Mexico</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>South Africa</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>0.5</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Sweden</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Turkey</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>1.2</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>United Kingdom</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>2.1</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>United States</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>73.9</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Other</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>2.1</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=right width="47%"><FONT face=sans-serif size=1>100.0%</FONT>&nbsp; </TD></TR></TABLE><BR>
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<P align=left><B><FONT face=sans-serif size=1>Security valuation</FONT></B><FONT face=sans-serif size=1> Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close 
of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. </FONT><FONT face=sans-serif size=1>Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund co
uld reasonably expect to realize from an orderly disposition of 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 point in time and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Stripped securities </FONT></B><FONT face=sans-serif size=1>The fund may invest in stripped securities which represent a participation in securities that 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=1>Forward currency contracts </FONT></B><FONT face=sans-serif size=1>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal 
to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</FONT></P>
<P align=left><FONT face=sans-serif size=1>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=1>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=1>Futures and options contracts </FONT></B><FONT face=sans-serif size=1>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=1>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 the 
cost of investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148; Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Total return swap contracts </FONT></B><FONT face=sans-serif size=1>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. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. 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. 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=1>Interest rate swap contracts </FONT></B><FONT face=sans-serif size=1>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. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. 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 r
ate 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=1>Credit default contracts </FONT></B><FONT face=sans-serif size=1>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. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. 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</FONT></P>
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<FONT size=1 face="sans-serif">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.</FONT></P>
<P align="left">
<FONT size=1 face="sans-serif">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">
<FONT size=1 face="sans-serif">For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's
Individual Investor Web site at www.putnaminvestments.com</FONT></P>

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<P align=left><U><FONT face=sans-serif size=2>Item 2. Controls and Procedures:</FONT></U></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: </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 3. Exhibits:</FONT></U></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></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>
<BR>
<U><FONT face=sans-serif size=2>/s/ Janet C. Smith</FONT></U><FONT face=sans-serif size=2> </FONT><BR>
<FONT face=sans-serif size=2>Janet C. Smith </FONT><BR>
<FONT face=sans-serif size=2>Principal Accounting Officer</FONT><BR>
<FONT face=sans-serif size=2>Date: February 28, 2007 </FONT></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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>
<BR>
<U><FONT face=sans-serif size=2>/s/ Charles E. Porter</FONT></U><FONT face=sans-serif size=2> </FONT><BR>
<FONT face=sans-serif size=2>Charles E. Porter </FONT><BR>
<FONT face=sans-serif size=2>Principal Executive Officer</FONT><BR>
<FONT face=sans-serif size=2>Date: February 28, 2007 </FONT><BR>
<BR>
<FONT face=sans-serif size=2>By (Signature and Title): </FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>/s/ Steven D. Krichmar</FONT></U><FONT face=sans-serif size=2> </FONT><BR>
<FONT face=sans-serif size=2>Steven D. Krichmar </FONT><BR>
<FONT face=sans-serif size=2>Principal Financial Officer </FONT><BR>
<FONT face=sans-serif size=2>Date: February 28, 2007 </FONT></P>
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<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U><FONT size=2 face="sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions): </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Charles E. Porter </FONT><BR>
<FONT size=2 face="sans-serif">_____________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: February 28, 2007 </FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter </FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer </FONT></P>

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<U><FONT size=2 face="sans-serif">Certifications</FONT></U><FONT size=2 face="sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that: </FONT></P>
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<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
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<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report; </FONT></P>
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<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: </FONT></P>
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<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
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<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
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<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and </FONT></P>
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<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
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<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions): </FONT></P>
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<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and </FONT></P>
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<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting. </FONT></P>
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<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: February 28, 2007 </FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer </FONT></P>

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<FONT face="sans-serif">Attachment A </FONT><BR>
<FONT face="sans-serif">  </FONT><FONT size=2 face="sans-serif">NQ </FONT><BR>
<FONT size=2 face="sans-serif">Period (s) ended December, 31, 2006</FONT></P>
<TABLE border=0 width=80% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">054</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam High Yield Municipal Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">074</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Master Intermediate Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">027</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam California Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">033</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam American Government Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">011</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Tax Exempt Income Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">539</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam International New Opportunities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">032</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam U.S. Government Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">010</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">062</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Tax Exempt Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">23T</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Prime Money Market Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">075</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Diversified Income Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">259</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">250</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD align=left width=9% nowrap>
<FONT face="sans-serif">264</FONT>&nbsp;
	</TD>
	<TD align=left width=90% nowrap>
<FONT face="sans-serif">Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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